I thows FileNotFoundException
That's normal, Microsoft.mshtml.dll is a primary interop assembly. It is not part of the .NET Framework so cannot be located automatically. It also won't be available on the user's machine, PIAs have to be installed.
The best way to go about it is to ensure that the assembly is present in your build directory so it will be deployed along with your program and can always be found. Project + Add Reference, select Microsoft.mshtml. Select it from the References node and set the Isolated property to False, Copy Local to True. Rebuild and verify that you now have Microsoft.mshtml.dll present in your bin\Debug directory.
And modify your code to pass the full path name to the file. Like this:
var referenceAssemblies = new List<string> {
"System.dll",
"System.Data.dll",
"System.Xml.dll",
"System.Windows.Forms.dll"
};
var homedir = Path.GetDirectoryName(Assembly.GetExecutingAssembly().Location);
var mshtml = Path.Combine(homedir, "Microsoft.mshtml.dll");
referenceAssemblies.Add(mshtml);
cp.ReferencedAssemblies.AddRange(referenceAssemblies.ToArray());