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1.) If I dump a site, then click on the downloaded site. I am able to hit the locally cached version. However, if I close the application - the site needs to be downloaded again. Why?
Not sure I understand, Web Dumper doesn't use any cache. It downloads files and save them to your hard drive.
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2.) The dumped website in their respective folders are empty. Why?
Open the preferences and click on the factory default button. Then try again.
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I purchased this application on a whim based upon my understanding that I an download sites, and browse them off line. Is this incorrect?
Yes, that's correct.