To add the Web page you are currently viewing to your Favorites list and then make it available for offline viewing, follow these steps in Internet Explorer:
On the Favorites menu, click Add To Favorites.
Click the Make Available Offline check box to select it, and then click OK.
To make an existing favorite Web page available for offline viewing, follow these steps in Internet Explorer:
On the Favorites menu, click Organize Favorites.
Click the Web page you want to make available offline.
Click the Make Available Offline check box to select it, and then click Close.
http://support.microsoft.com/kb/196646