All the above advice is absolutely on-point. Some advice for when your boss doesn't listen:

1. Get the request in writing, if you haven't already done so.
2. Get your objections in writing, if you haven't already done so.
3. Get his overruling of your objections in writing, if you haven't already done so.
4. Go talk to HR, if you feel you can without endangering your job. Let them handle it.
5. If all else fails, you can do one of two things:
   1. Contact the site you're being asked to scrape and let them know the position you're in.
   2. Do the job anyway while actively searching for another job.

The idea is to have your ass completely covered. That's what the paper trail is for. You can term it as "I just want to know exactly what you want and be able to refer to it without bothering you." Signatures are best, but email is often good enough.

I cannot emphasize this part strong enough - Make hardcopies of all email and photocopies of all signed documents, then store them offsite. These are your only protection when the company gets sued and the $h!t starts to roll downhill.

If you're absolutely paranoid, you might even want to talk to a lawyer, just to make sure the jurisdiction you're in doesn't have some crazy laws that would skew the issue.