> <http://www.failteireland.ie/About-Us/Frequently-Aske>
> d-Questions	C:/My%20Web%20Sites/www.discoverireland.
> ie/www.failteireland.ie/About-Us/Frequently-Asked-Qu
> estions.html	(from <http://www.failteireland.ie/>).
> 
> So you can see it appears to be extending beyond the
> link depth of one.
> 
> Am I misunderstanding what the external link depth
> actually means?
Your understanding is correct.  

I tried this with the latest (3.43-2) as well as 3.32 and get the same result.
If external depth is nonblank/nonzero it is treated as infinite.  

I also tried setting internal=4 with no change.