Under windows, you can use the Windows port of wget to do something like this.
http://space.tin.it/computer/hherold/
Just read through the manual. The administrators of the forum might not like you much if you tried to download the entire forum, but it should be possible. You can also use rate limiting, and you should be able to save the pictures. Also, if you use Netscape/Mozilla you should be able to use the cookies.txt generated by the browser to allow wget to act as if it is logged in. I am not sure if you can do that with IE.