Just the text? or the whole thing including video and audio? The only way I can possibly think of doing the whole thing would be to save the lesson as a webpage and then find all the files that it links to and put them in appropriate folders for it to work.. a bit of technical knowledge would be required here.. as well as the very real possibility of not being able to locate all the files required, or not have direct download access to them etc.

Also.. I think there may be copyright or similar (eg acceptable use policy) issues with using it offline, in a portable media device. If they allowed people to download the lessons to their computers, for whatever ever purpose, there are going to be people who will "steal" the content.. and share it with their friends.. who share it with their friends.. and so on.. another word for that is software piracy.

I completely understand the reason to have it on your pocket PC.. it would be much more useful in many cases.. but other than actually surfing the web on your pocket PC and saving the entire webpage structure.. I don't see how else you could do it.