"I was able to capture all the images with links, and the links took me to the linked page, not back to the original."
What s/he is asking for is that when you click on a link on the saved page, is not for it take you to a web address. That functionality can be done just by clicking Ctrl-S on a webpage and saving as a 'complete' html page (it's put in a single folder on disk).
What he/she wants is for clicking on that link to take you to another locally saved page.
So, if you clicked a link on the saved page (say, your saved page is at C:/downloads/mywebsite/mywebpage1.html), it wouldn't direct your browser to (for example) https://www.mywebsite/mywebpage2.html (the web url from the original page that's saved in your local copy), it would take you to C:downloads/mywebsite/mywebpage2.html. Another locally saved page (or image or whatnot) ... that was somehow ALSO magically saved when you saved the original page ... just by virtue of the first page having a link to it.
This requires sophisticated software to accomplish 
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