Do you have permission from these websites to duplicate their copyrighted material? A website is just as copyrighted as a novel.

PDF Creator is good for converting stuff to PDFs... I'm sure you can script it to do a batch conversion fairly easily. I suppose you could export your excel URLs to a text file and do a find-and-replace to create a batch file that will do this.

http://sourceforge.net/projects/pdfcreator/

Draugs - good point I will have to look into this.
I work in marketing and PR research. An aspect of what we do is to help our clients measure their online profile. This is mostly down with an automated data tool which performs a crude analysis based on key words, but we also human-coded content analysis. This means we employ analysis to read forums record what people are saying about our clients (this content is then turned into quantifiable data). The trouble is the analysts must click on a link and wait for the page to open etc. With hundreds of pages being coded every week this waiting time adds up.
I figured it would be more efficient to download the pages in one go, and then convert them to pdfs and then give these to our analysts.

@Tolstoy I have PDF Creator but it does not do batch conversions, but as you say maybe a script can be written.

Try this:
1) Open PDF Creator
2) Enable auto-save
3) Click the "Add" button in the menu bar
4) Select multiple files with Ctrl-A or Ctrl-mouse click
5) Print

Yes I did try that during the week (I am at home now). But it didn't seem to work they way I wanted to. I added each of the html files and then I did what you said (as far as I remember, certainly autosave was enables), but it still brought up a dialog box for each and every file. I'll have another go tomorrow.
For now I have just downloaded a program called APDF HTML to PDF, which automates the task very well.
So I think I have a solution. Not the best solution because the files are html file, whereas mht would be better. But it's a start.
But I really appreciate your input Tolstoy thank you.

Actually the program I have installed works quite well but the links inside the documents do not work (not sure if I need this but I might), whereas with PDF Creator the links still work.