The Microsoft Internet Explorer is able to save complete web sites in one single file, called "web archive". Unfortunately Microsoft uses a proprietary format for these web archives, so you won't be able to Extract the files which are stored in these archives (the browser iCab is also able to save web sites in web archives, but it will use the common ZIP format which can be extracted on all computer platforms. On the Mac it can be extracted with StuffIt Expander for example).
The application WAX can read web archives from Internet Explorer and will save the individual files on disk. So you'll get full access to all the files which are stored in these archives.
