So I might be thinking of the wrong file format, but I remember as a kid opening files that looked like a Windows 98 help window:
I thought it was an MHTML file, and it allowed me to navigate between the packaged pages. Am I thinking of the right format?
MHTML allows HTML with links as a standalone file, as described here. Many online tools will create one for you.
.MHT files are also single HTML files.
Winfows 98 actually used a compiled HTML file - ie a .CHM