PageSaver - description from Softdepia.com:
PageSaver is an add-on to Internet Explorer (IE) that lets you quickly grab multipage Web documents and save them to a file on your local hard drive. PageSaver downloads and saves the current page, including pictures and selected linked pages. All you need to do is highlight the text area with the necessary links in IE, then right-click and choose PageSaver, and select a folder in which to store the information.
PageSaver is a "Free to try" program. You can download and try it for an evaluation period.