I doubt that this is feasible at all. The atmosphere consists mainly of CO$_2$, which is heavier than helium but the absolute pressure is only 0.006 times our standard pressure. So basically the helium vessel would be lighter but the total force due to the buoyancy is tiny compared to gravity which is only 0.4 times less than on earth.
Just try to calculate the volume necessary to lift 1 kg.
As Dan Piponi pointed out there are some really large ballons from NASA. So if we take those dimensions of the linked article with 22 million cubic foot at 110000 ft to lift a large science experiment my estimate is that one needs approximately 400 of these gas bottles (with a pressure of 200 bar each):
So that seems not feasible for any kind of Mars exploration in the near future.
Edit: As the necessary amount of helium scales linearly with the weight this depends a lot on the scale of the craft. The Mars Global Surveyor with 1035 kg would require the mentioned 400 gas bottles, even more for larger probes such as the Mars Reconnaissance Orbiter (2180 kg). A small sensor package, essentially a nanosatellite (1-10 kg), is feasible, as the required amount of gas is orders of magnitude lower.