You need to download the HTML files to get the links 
to the JPG/GIF/BMP/etc files.  If you'd like to have 
them all put into the same folder when you are done, 
take a look at the 'Build' | 'Local Structure Type'.  
Change it to the 2nd or 3rd options (all images/other 
file types put into /images) and see what happens...