Funny enough, I was wondering about the exact same thing myself yesterday.
Here is what I found:
There is an extension called Mozilla Archive Format (MAF), written by Christopher Ottley, which used to do this for FireFox 1.5. Unfortunatly, it was never updated for Firefox 2 compatibility, and it looks like it's not maintained anymore. Various people reported that they succeeded to install it by manually changing the setup file. For a link to the patched setup file, check this forum post. Note - I did not try the patched version myself.
BTW, MAF files are simply ZIP files, so you will have no problem opening them with Internet Explorer once you save them with Firefox. The reverse is not true for IE MHT files, which are basically eml files.
There is another FF extension called ScrapBook, which also provides an archive-like functionality - I did not try this one either.
I hope this helps.