You have to save as "Web page, complete" for the CSS file and images to be saved as well.
Or if you use firefox, you can install the Web Developer add-on (
Web Developer) ... you can view all CSS of any page easily ... it has lots of other features too.
Btw, I think WMM uses only internal CSS (all CSS inside the HTML/PHP file), so that's y you can't see any external CSS files.