have you tried bookmarking the site, and selecting make available offline and setting the options to download everything, then running the Syncronisation wizard on a clean Temporary Internet files folder and then just copying and pasting all files?
 
I am sure there is a better way but that is all I know other than doing it the hard way and saving everything manually

Thanks for the help. I was trying that but forgot to select the "download everythin" part

When the webpage you want has finished donwloading, you can always select File/Save As and choose Web Archive, Single File in the Save As Type field...it will create one file only, with all media/pics etc

Alec,
 
yes, many of these types of sites get closed down by the U.S. gov. The ones that are most always shut down are the ones talking of the C.I.A (& Mossad) involvement in the Sept. 11th attacks > somehow all tying into the gazillion barrels of oil in/around the Caspian Sea. Look for the Russians to be getting nervous.....
 
Many of these sites talk of "Lighting Fires" > the equivalent of you setting a fire in one neighbors yard, telling him it was the other neighbor, & letting them kill each other so you end up with their land. But, sometimes there is no direct line to what you covet. This is where setting a fire in your own yard can be useful........

By the way, if you want to rip a COMPLETE webpage you need a 3rd party freeware, like SiteSnagger or similar. If you use the SaveAs in IE it will only save the current page (with graphics and stuff).
 
Sitesnagger will rip all subsites, up to 99 levels (from root level - index.html for example) including graphics and links

I have used 2 good mirroring programs: WinHTTrack which can do advanced stuff but with not as nice interface as Teleport Pro which is a well known all rounder.
 
I haven't used any MS ones, but like most things, theres a 3rd party one to do it better I'm sure.