> my site embeds a video.  HTTrack captured that page,
> but not the embedded content.  I'd like to get that

Is the captured page, external? That's level 1. Is the content also external.
That's level 2.

If the video actually on the page (look in the source.) Most videos like
youtube, link to a SWF and THAT downloads the video. Httrack likely downloaded
the SWF but when that starts, it tries to get the video from your machine.

Basically, most can not be done.