Yes, for Firefox there is an extension called DownThemAll!. it will scan all the links on a page, and then present them to you. You can then check which ones you want and it will do a mass download, similar to when you purchase an album on iTunes, for example.
then what i stated in my first comment would work perfectly. installed the addon into Firefox, point the browser to that index.html file, and run the add-on (from the Tools menu). You’ll see a list of the files, and can choose to download them all simultaneously.
this will work, even on a local machine (i.e. 127.0.0.1).