krypticide

Does anyone know of a program that will collect webpages and links to files? I want to download the lesson pages from www.japanese-online.com, which includes links to WAV files. However, if I use say Sunnysoft World Off-line, it opens the pages up in IE and when I click on the WAV file link, it asks me to save the file again!

So, I'd like an application that can collect these pages and open up links without having to "download" the file again.