If you want to grab the HTML and script pages from your own site, "FTP program" like CuteFTP.
If you want to grab the HTML and script pages from someone else' site, you can't unless they are all static pages with no server-side includes. As soon as scripting and includes are added you see only the _results_ of those pages/files running, there is no way to get to the source code short of hacking their site.