We'll use the example Http:\\mysite.com\Me\index.html


The Start or Base Page goes in the "Web Addresses: (URL)" box
  But remove the HTTP:\\ part or https:\\ bit,  it will work better.

So for our example we'll set as our base page
mysite.com\Me\index.html


Then click on "Set Options", then click the "Scan Rules" tab
Delete the default stuff

Add the BLOCK ALL rule
-*

Now since we want all the stuff  higher on the url path we add
+mysite.com\Me\*


This would grab (if there are links to them)
mysite.com\Me\index2.html
mysite.com\Me\pics\fudge.gif
etc

The Pages you get might not look right because they may be sharing files
common to the entire site.  Look at the page source to see location of any
missing files and then add rules to get that stuff too. those type of shared
thighs don't usually contain any links so adding rules for them only get the
required stuff you need.
+mysite.com\backgrounds\*
+mysite.com\Logos\*
+mysite.com\scripts\*
+mysite.com\templates\*