depending on actual size of the site would be to recreate the site's directory structure on your PC and download the contents of each directory to the same location on your own PC.
Another way would be to download and use a website copier such as WinHTTrack which you can find at http://www.httrack.com
Once downloaded you should consider saving to CD as your hard drive is potentially a corruptable media.
How do I back up my website on my harddrive? My host site has been off line for 3 weeks and is suppose to be back online tuesday. I won't be able to do this until they are back up and running. I now want to be able to save my site to my harddrive, just in case this happens again, so I can move to to another host site.