There are a couple of issues with your code, but the likely problem issues are that you have not defined the file type and you have not set the save path. Saving to the root of the C:\ drive would almost certainly be blocked by security issues.
It is better to declare your variables and name the documents e.g.
Code:
Sub BreakOnPage()
Dim i As Integer
Dim oSource As Document, oTarget As Document
Dim oRng As Range
Dim strPath As String
strPath = "C:\Path\" 'enter the path here
' Used to set criteria for moving through the document by page.
Application.Browser.Target = wdBrowsePage
Set oSource = ActiveDocument
For i = 1 To oSource.BuiltInDocumentProperties("Number of Pages")
'Set a range to the page
Set oRng = oSource.Bookmarks("\page").Range
' Remove the break that is copied at the end of the page, if any.
oRng.End = oRng.End - 1
'Create new document to copy the range to.
Set oTarget = Documents.Add
oTarget.Range.FormattedText = oRng.FormattedText
oTarget.SaveAs FileName:=strPath & "page_" & i & ".html", FileFormat:=wdFormatFilteredHTML
oTarget.Close
' Move the selection to the next page in the document
Application.Browser.Next
Next i
oSource.Close savechanges:=wdDoNotSaveChanges
Set oSource = Nothing
Set oTarget = Nothing
Set oRng = Nothing
End Sub