Thanks, I made a file with macro of urls from 1 to 3000 and got it all down,
the other problem that I have now is that the files are saved with random 4
characters while I would like it to have the original url address:

www.site.com/forum/archive.php?id=1&page=1.html
www.site.com/forum/archive.php?id=1&page=2.html
www.site.com/forum/archive.php?id=1&page=3.html

the target url itself is not HTML it's a php query.