I made the attached program using AutoIt. I attached the EXE and the source code file (AU3) inside the zip file. If you install AutoIt, you can run the program by double-clicking the AU3 file. (The advantage of doing it this way is that you can edit it yourself.)
To use this program, double-click the EXE. It runs in the background.
When you want to save a webpage, first copy a URL then press the shortcut key: CTRL+WindowsKey+S
Select the output format and click OK. (The default format is Webpage Complete.)
Webpages are saved to a folder on your desktop.
In Internet Explorer 9, you can copy a URL by right-clicking a link, then selecting "Copy shortcut." So if you use Internet Explorer, you would first right-click a link, select "Copy shortcut," then press CTRL+WindowsKey+S.
If you want a different shortcut key or other changes, let me know. One option is to have a separate shortcut key for each output format, Webpage Complete and MHT.
I didn't add the feature of automatically changing the file name if there are duplicates. First try it as is and let me know if you like it.
You can put the program in your Windows Startup folder and it will run when Windows starts up.