Ultrafine magnetic particles consisting of a metastable iron-mercury alloy in Hg have been investigated by Mössbauer spectroscopy and magnetization measurements. It was found that the magnetic particles interact strongly, and around 100 K there is a transition from a superparamagnetic state to a state in which the magnetic moments of the particles are ordered. The magnetic entropy change induced by application of a magnetic field was determined in the temperature range from 70 to 200 K. When the sample was magnetized in 1 T the magnetic entropy change was almost constant in the temperature range from 130 to 200 K. In an applied field of 0.1 T, the entropy change was lower, and decreased with increasing temperature in the same temperature range. A model which takes into account the magnetic interactions between the particles was found to give a better description of the magnetic entropy change than a model for non-interacting superparamagnetic particles.