Technically it is my company's MediaWiki page and not Wikipedia, but the principal is the same.

If you got to the Wikipedia main page and do File -> Save Page As -> Web page complete
Then open the file that is saved, it turns out that none of the css or images have been saved and the page looks rubbish.

Same behaviour in Firefox and IE7.

Any idea why this is happening and how I can get round it?

I can print to PDF or even save as *.mht, but I don't want to do that.
I am also not interested in manually looking for the css files and copying them one by one locally.