Videos
Hit Ctrl+S and save it as an HTML file (not MHTML). Then, in the <head> tag, add a <base href="http://downloaded_site's_address.com"> tag. For this webpage, for example, it would be <base href="http://stackoverflow.com">.
This makes sure that all relative links point back to where they're supposed to instead of to the folder you saved the HTML file in, so all of the resources (CSS, images, JavaScript, etc.) load correctly instead of leaving you with just HTML.
See MDN for more details on the <base> tag.
The HTML, CSS and JavaScript are sent to your computer when you ask for them on a HTTP protocol (for instance, when you enter a url on your browser), therefore, you have these parts and could replicate on your own pc or server. But if the website has a server-side code (databases, some type of authentication, etc), you will not have access to it, and therefore, won't be able to replicate on your own pc/server.