I suggest you try wget, the "non-interactive downloader". It is a command-line file/website/whatever downloading utility packed with features. I have easily mirrored (ie. completely downloaded) several sites to my hard drive with it. Don't shrug it off because it is a "command-line" program, it's very easy to use.
You haven't mentioned what operating system you are using. If it's a *nix-like system you can probably install wget through your package manager. If it's Windows, you can get a Windows of it version here:
I think this wget command should do it for you:
wget --page-requisites --convert-links --html-extension --restrict-file-names=windows www-example-dot-com
With you replacing the website's address where I wrote www-example-dot-com
If you are completely baffled:
The program's name (wget, of course), along with a list of options ("arguments") is typed at the command line. --page-requisites option tells it to download everything the page needs to show up propperly, such as the images on it. --convert-links makes it possible to browse the local copy offline. --html-extension and --restrict-file-names=windows help make the thing viewable offline on most computers (in a nutshell).
If you want to download (mirror) the entire site to your hard drive, check out the --recursive and --level options.
I'm not going to explain working with the command line in full, but if you don't know: it becomes very easy once you grasp opening a command prompt and then changing directories ;-) (honest!) You could of course rather look for a GUI-based download manager or something, but it might just nag you to register, unlike wget, which is open source :-P
Hope that helps