Delete them
.mdmp file are memory dumps, from when SQL has access violations or other similar errors. If you're getting them currently, call MS's customer support. If they're old and the problems aren't still occurring, there's no reason to keep the files around.
Gail Shaw
Microsoft Certified Master: SQL Server, MVP, M.Sc (Comp Sci)
SQL In The Wild: Discussions on DB performance with occasional diversions into recoverability