Saving A Web Site’s Subpages

Is it possible, and if so, how, can I save a web site page and have some way of it saving the subpages under it, and so on and so on.
I know you are not actually saving the web site page itself when you save them from the net (so no lectures on that please).
Say I got to a site that that has 2 links. One has 3 links under that, and the other has 6, which in turn, has 2 links (following me so far?). How can I save that first page and have it save each subpage under that?
When saving a page from IE, it actually keeps each link’s correct address, so if you click it, it goes to the web. But if you save them using Netscape, those links will look at the local drive for those subpages.
So is there a program that can save all subpages a page is linked to when you save that first page?