> But I'm having troubles with filters. I'll do
> -* +.html +.jpg +.gif

This is incorrect - use:
-* +www.example.com/*.html +*.jpg +*.gif

(example.com is to be replaced by the proper site's name - 
do NOT use +*.html unless you want to mirror ALL the web!)

> I also did -.cgi, but it still downloads those as well 
too!

-*.cgi