There is a Windows program called WingFlyer which does a pretty good job.
The file I downloaded is named wngf260.zip but there may be a later
version. It is uncrippled shareware and can download to any number of
levels deep in the web heirarchy and do some basic filtering of files.
Check out the major shareware archives.
If you use unix/linux, check out a brilliant program called 'wget' - it is
full featured as most linux programs are. It sucked in most of Keelynet
just fine so now I can browse off-line for a while. Oh yeh!