Hi Sitara,
To copy the entire site you need ftp access. You can do this by adding the
site to you Network Places. Then you can make a copy of the entire site to
your local disk (you will need passord access though). This will be a copy
of the source and not any dynamic content.
You can save web pages with dynamic content from IE (File/Save As) or by
adding them to your favorites (Favorites>Add to Favorites - Make available
offline - Customize) . In the Customize dialog you will see options for the
number of levels links to drill down. If you are saving the sites Home Page
to your favorites choosing a large number of levels may retain the entire
site for you.
There are also some archival services available on-line that can give you a
historical snapshot of a web site (you will have to search I forgot the name
of the site). For example Google has options to view a cached snapshot of
pages returned from it search results. Try
http://www.archive.org