I think it should be legal because that is the ourpose of the website and you are a visitor are allowed to download everypage, except any password protected pages if any.
But downloading via a software is very cruel to the site because of consumes a lot of resources.
It is better to email the site owner and ask him to giove you a complete archive file in .tar.gz format. It will save your time too as you will be getting the compressed version.