>    I tested <http://mail.yahoo.com>, but it should
> work on any website.

> 	(Yahoo Mail still exists! and I set the proxy as
> described in CatchURL tutorial)
> 
> And finally the WinHTTrack catched the URL I
> suppose, I mean it showed the URL in the box.

When you log in to yahoo mail you go to a link like this:
<http://us.mg1.mail.yahoo.com/dc/launch?.rand=aim9dlsqbnj62&gi=0>

You didn't log out of yahoo mail, get to the log in page, set the catch url,
and log in.

Also be adviced that yahoo mail page has ZERO links, only javascript and
httrack can't handle much in javascript.