You need to have a WordPress setup on your own server (not necessarily on the internet, however).
For best results, strip all the interactive content out of your WordPress site (comments, categories, anything with dynamic content). Add this plugin to give your pages real filename extensions.
Check out my cloning script and adapt it to your needs. It crawls the site from your real server, changes the real links to relative links, and drops it into the class archive. You have to do the Mercurial add/commit/push manually, however.