sebastienbillard: I can't remember if I used curl or wget, but I am pretty sure it was wget (an older program). I did this from the Mac - wget isn't included in Windows, but you can get it a number of ways (all of which are a bit complicated). Then I imported the top index page of the local website into calibre, and it created a zip file for the whole website, which I then converted to ePUB. It isn't great, but it works. I might not be remembering the details correctly. Try it and let me know if you run into problems.
lilpretender: Hmm. Can your reader handle something other than LRF? BBeB maybe, or RTF? I am not sure how a reader would handle HTML locally - if it could link from one document to another via a hyperlink. It seems like you would have to convert it into a single page or some other single-document format.
It would be good to hear from someone with a reader that supports HTML, because it isn't clear to me how that would work.