Be sure you've used Disk Cleanup and checked off the Temporary Internet Files item since Internet Explorer (not noted in your post) does do odd things like this when the TIF has many files in it. Microsoft never fixed that issue.
Next, reboot, try again. If that doesn't work, look up IEFIX on google.com and see if that helps.
Best of luck and try to supply a more complete post noting the browser and example web site.
When I try to save a web page and select 'Save As' in the File option I get a 'Save HTML Document' window when I used to get a 'Save Web Page' window.
How can I go back to the 'Save Web Page' window when using Save As under File?