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Probably a browser extension these days. I had one back in the late 90's or early 2000's that would simply download the page you were on, as well as every page, image, audio file, etc. on every recursive link on that page.

This was back when most websites had a table of contents link somewhere, though. There are plenty of sites now that don't link to every page contained on the domain and are only accessible if you manually enter the URL or use dynamically created pages that only exist upon request.