It sounds like you've found the problem, Xavier -- 
which is good :)

I found I had to have the detect all link option 
enabled so HTTrack would rewrite the links to the 
images. On the original site these images are 
referenced at (eg:) "/images/hello.gif"

HTTrack rewrites this nicely into a relative 
link "images/hello.gif"

Look forward to a new release.