> Whenever I am in need of downloading many details in 
> single website it more time to download each and 
every 
> objects. Is there any other way to download all the 
> related messages/photos/ in a single time?
Yes, always using filters - for example, if you start 
from:
www.foo.com/messageboard/main.php

and want to download all links embedded:
www.foo.com/messageboard/message.php?id=..
and related images:
www.foo.com/images/xxx.gif

use:
-* +www.foo.com/messageboard/message.php* 
+www.foo.com/images/*.gif

In case of duplicate messages - example: if 
www.foo.com/messageboard/message.php?id=1 and 
www.foo.com/messageboard/message.php?id=1&view=1 are 
the same, the use:

-* +www.foo.com/messageboard/message.php* 
+www.foo.com/images/*.gif -
www.foo.com/messageboard/message.php*view=1*