A search for Heavy Neutral Leptons has been performed with the ArgoNeuT detector exposed to the NuMI neutrino beam at Fermilab. We search for the decay signature $N to u mu^+ mu^-$, considering decays occurring both inside ArgoNeuT and in the upstream cavern. In the data, corresponding to an exposure to $1.25 times 10^{20}$ POT, zero passing events are observed consistent with the expected background. This measurement leads to a new constraint at 90% confidence level on the mixing angle $leftvert U_{tau N}rightrvert^2$ of tau-coupled Dirac Heavy Neutral Leptons with masses $m_N =$ 280 - 970 MeV, assuming $leftvert U_{eN}rightrvert^2 = leftvert U_{mu N}rightrvert^2 = 0$.