Easily done.
There are programs written specifically to do this. Usually found on one of the computer magazine's CD-ROM.
IE 5.x can also do it via the 'Favourites' menu.
Click on 'Favourites.........Add to favourites'
Make sure you tick in the 'Make page available offline' box then click on the 'Customise' button next to that.
A wizard will start that will take you through it.
Netscape has a similar ability, but I can't remember the menus to describe it to you.