> I want to be able to cache a forum.  The problem that I am 
> having is that many forum posts include an img tag that 
> refer to an external domain.  It caches the posts but 
> doesn't cache the images off-site.  I don't need any links 
> to be followed to external sites, just the images referred 
> to on the site.

Did you remove the default scan rules?  The defaults should 
make HTTrack capture every image on a page, no matter if 
it's on the current site or external.

Try:
+*.jpg  +*.gif  +*.png  +*.bmp

Trying to use a rule of "*" doesn't actually mean anything.  
Rules are for explicitly defining inclusions "+" and 
exclusions "-".

I wouldn't bother with Max External Depth.