With the "Export to CHM" feature you can compile your bookmarks inclusive downloaded files to a single CHM file. The CHM file format is normally used for help files, the WebSite-Watcher help uses that format, too.
To get a CHM file, you need the free HTML Help Workshop Compiler which can be downloaded from the
Microsoft website
After downloading and installing the HTML Help Workshop you must enter the full path and filename of the help compiler (called HHC.EXE) into the Options tab of the CHM dialog. After that you can create CHM files of your bookmarks and downloaded files.