> Said otherwise, I just need:
> <http://www.annuaire-mairie.fr/index.html>

If this is the starting link, there is nothing to do: the page will be
captured.

> <http://www.annuaire-mairie.fr/departement*.html>

Use the following scan rules:
-* +www.annuaire-mairie.fr/departement*.html

or, if you want embedded images/css/js too:
-* +www.annuaire-mairie.fr/departement*.html +*.gif +*.jpg +*.jpeg +*.png
+*.css +*.js