It copies every thing that is on your blog/site. Everything. After you have copied your blog/site to your hard drive, you can browse through your blog/site offline as if you are browsing it while online. All the links to different parts of your blog/site works. Of course, if you have a link that leads to an external site, you can't go there if you are offline!
This tool is really useful because so many of us give up blogging. After a while you forget your log in ID, you forget your password, and you even forget you ever had a blog. So instead of leaving your blog unattended or deleting it completely (do NOT waste all the time and effort you put into your blog!) keep a copy of the blog on your hard drive.
Keep a copy of your blog or blogs. Do not delete them and leave them in the big dumpster in cyber space!