> Is there a possibility in the setup to stay on the 
> same server?> I've read the messages to set the filters, but isn't 
> there a simple way to avoid the download of external 
> links?
Erase all default filters (+*.gif +*.jpg and so on) in 
Options/Scan Rules, this should do the trick. 

If you still get some external files, this is due to 
website redirects - in this case, you'll have to use 
filters, such as:
-* +www.yourwebsiteaddress.com/*