Can you read a single web page? If so the next step is taking its contents and parsing it. Do a search in this forum, Other JSE/JEE APIs and Java in General for information on how to parse a web page. You need all src and href attributes to start with, possibly others as well. I once wrote a link checker that recursively could check the links on a web site, so it shared a basic principle - take a web page and retrieve all links from it. Your program just needs to download them all.
unfortunately my problem is not so simple
Consider a website consisting of a single html document mysite.com/index.php
Also, there are page made of a single Flash (swf) GUI... How do I interact with it? How do I navigate through its "menus" and finally retrieve the information I need?