Backstreet Browser (free!) allows you to download an entire site, or just sections of one. I've used it to download a few sites that I really enjoy but which I've thought might disappear from the net (so far, they haven't, but the web is ephemeral). BackStreet Browser - Offline Browser, Download Entire WebSite at High Speed!
I wouldn't try to download the entire forum here, though, unless you've got unlimited and very fast bandwidth and a pretty grunty machine with a lot of open drive space. 1million+ posts is a lot of bandwidth and a lot of storage space!