> "I canptured url, but httrack can't download site"
> and  the reason is proxy is blocked.

> If I attempt after setting proxy in IE or
> Set option's proxy  HTtrack do not show me
> "address captured".

If it doesn't display the captured message you did NOT capture anything

> (If I set proxy IE, I can't go every site)

Do you have a proxy setting in IE while browsing.
If yes, then you must set the proxy setting in httrack (options -> proxy) the
same. This is not part of capture process. It would be a permanent setting.
If not, then httrack must not.

> So, I found some site give free poxy address.
irrelevant. unneeded.

get the browser to the log in page.
get httrack to indicate 
> "Please TEMPORARILY set your browser's proxy
> preferences to:
> Proxy's address: 192.168.111.11
> Proxy's port: 8080 

Change the proxy settings in IE.
Click on the log in button.
IE must display the captured message or you didn't do it right.
Change IE back to none like it was initially. (blank)
Find the log out button and filter it out from httrack.

Form-based authentication -
<http://httrack.kauler.com/help/Form-based_authentication>