...does not know anything about the contents of the HTML file you copy and paste to the body of the message or attach as a file to an email. It is not designed to collect the files based on the links in the HTML code.
If you want to send a web page exactly as it looks, you need to save the page first from a browser. In IE7, click Page, then Save As... and select Web Archive, single file (*.mht). This creates a file on the hard drive which contains the page and the images.
In Firefox, the function File - Save As... has the option 'Web Page, complete' but this saves the html code as 'page.htm' and creates a directory 'page_files' where the images are stored. Therefore you would need to create a compressed archive (*.zip) and send it if you use Firefox.