I use Adobe Acrobat V7 (not Adobe reader) to convert batches of linked HTML pages into a single document (PDF). The downloadable latest version of Acrobat is available from Adobe here: http://acrobat.landingpage1.com/?sdid=YRRF
Price $449 new,  $159 upgrade.
Acrobat will trace the links in an HTML document automatically to a specified depth, place all of the pages it finds in a single printable PDF document, and place the chapters in a hyperlinked index, all in a single operation.

Acrobat is a powerful publishing tool with many features, but it isn't cheap. However, if you want just to convert a batch of HTML hyperlinked docs to a single document, there are many free or limited free trial PDF converters that can do that, without all the other bells and whistles of Acrobat. Some of them won't automatically follow hyperlinks, however, and most won't create the automatic hyperlinked index. Here are some choices:
http://www.tucows.com/Windows/DesignTools/PDFTools/PDFPrinting/

You can also use Open Office to manually make a single Word doc from HTML pages, but it will require the manual tracking of each hyperlink, then opening and appending each linked page to the final document. The good news is that Open Office is free, and it is a nice alternative to MS Word. However, not everyone has software that can read the MS Word document format. Generally I like the PDF format for publishing docs, as one can control the doc layout tightly, and Adobe provides a free reader for most all OS platforms.

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