[ldolse]

When the index page is on your local hard drive the links in the index page need to also load the local hard disk links. If you didn't use Download Them All to download the index page itself then the links probably were hard-coded to go to the internet (this is typically what browsers do when you save a single page).

Basically before you import to Calibre you should load the locally saved index page in your browser and make sure all the links in that page load the locally saved content pages.

You should be able to configure Download Them All to save the index page too. If not, you'll need to figure out a way to save the index page while keeping the links relative. There are a lot of different ways to do this - one is just to use the 'view source' command and copy and past the text into a new file - you'd just need to place this file in the same relative location to the content pages as the original file. Some of the Save As options may do this automatically for you.