The web server probably won't let you browse if it's set to first display the index.html file.
Don't you have FTP access to the site (I mean, you did write it)?
If it's just the stuff you see in you browser you want down loaded, you could try one of the following
- in IE, use Save As...
- Download each file manually. You know what the filenames are, they're all in the html source.
- Use an app like Teleport Pro to download the site for you.
