Thank you for directing to the right place!
<http://forum.httrack.com/readmsg/29365/index.html>

I just add that the plugin suggested there to export cookies is obsolete for
today's version of FF but you can use:
<https://addons.mozilla.org/it/firefox/addon/export-cookies-txt/>

It is simple:
1. create a project pointing to your login protected site at the home page
(not the login page, i.e: <https://my.intranet.com/home.aspx>), run it as is and
it won't write anything because authentication fails
2. login to your site with FF (it works with https too!) and when you are
inside save the cookies (using the FF add-on) over the cookies.txt file found
in the folder where WinHTTrack writes the site
3. start WinHTTrack again and run the scan again, this time it will scan the
entire intranet