If you are comparing my screenshot to what you see on your computer, then it will be different because I'm using Linux KDE Neon and you are probably using some version of Windows.
Sorry for the late reply, I've not visited recently.
So, right-click page one of the thread and select "Save Page As..."
You should now see something similar to the screenshot below. Choose to save as "Web Page, complete" and add a number - 01, 001, etc - at the end of the file name, but before .html, this will keep the pages in the right order.
You will have to repeat the above for each page.
Once you've got all the pages you need, you can put everything - files and folders - into one folder of your own choice.