GNU Wget is a free software package for retrieving files using HTTP, HTTPS and FTP, the most widely-used Internet protocols. It is a non-interactive commandline tool, so it may easily be called from scripts, cron jobs, terminals without X-Windows support, etc.
wget is a tool that implements simple and powerful content retrieval from web servers It currently supports downloading via HTTP, HTTPS, and FTP protocols, the most popular TCP/IP-based protocols used for web browsing.
To make long story short Here is how I downloaded one python tutorial which is available online only,
amoalsale@amoalsale-desktop:~$ wget --recursive http://www.python.org/doc/tut/
The above command will create one directory http://www.python.org under current directory and will start retrieving the entire website along with links, downloads and files also from website.
Things to remember
While downloading website please get to know the legal issues involved with the web page you are referring. Some websites do not permit wget crawler on their web servers. And all the events are logged.
You May find Windows version of wget here : http://gnuwin32.sourceforge.net/packages/wget.htm