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I've spent too much time searching for an application that allows me downloading all files (all pages, images...) from a web site.
It has been a hard search, but finally I've found one installed on my computer...
Yeah, of course wget can do that! Just use it with few parameters...
wget -r -l0 -p
And that's all.
UPDATE: Also very interesting for downloading many files from an ftp server wget -r --no-passive-ftp ftp://user:password@host/directory and very interesting wput for uploading the files.