Once upon a time you could find SuperBot 3.1 that could do exactly that. It was only a trial version that had a limit of 100 downloads per session, but no limit to the number of sessions, so it could be used indefinitely. Now there 4.0 trial version has an expiration date, and is no way as easy to use as the 3.1.
I currently use
WinHTTrack. It does a good job.