There are two ways you can do this the easiest is to click the "Add New Scrape Instruction" link on the Scrape Instructions tab, to open the wizard. You can then choose the Download Page, option to automatically download each web page into its own file.
The second way to download files in a scrape, is to do it manually. To save simple text to a file in the Scrape Instruction tab, enter the command Data.saveToFile("random text"); this will save the text random text in a file for every page it is executed for. You can also set a file name by specifying the second parameter like so Data.saveToFile(Page.getHtml(), "source.html");
Note that in this example we are now saving all of the current pages HTML to a file. As all files would have the same name the web scraper will automatically append a number to each source.html file name to ensure all web pages are saved.