In IE, go to the save dialog. Choose Web Archive from the format popup menu. Click Options. Tick 'Download links', and select the number of levels. Tick the other things you want to download, eg images. Click OK, and save. That will create a file that you can then open in IE for offline viewing.
Alternatively, there are a few programs that will do similar things that can be opened in other browsers. Pagesucker and Sitesucker are two of these.