You actually need to download all the linked pages too (and put them in the correct relative location so you can access them from the index page) - Calibre only adds pages that are on the local machine, it won't crawl the web for you. There are a variety of browser plugins that will crawl a page/site for you and make a local copy. Once you have a local copy of the whole book then drag only the index page to Calibre - at that point it will combine all the files into a single zip during import.
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