> This works fine with depth 2 and external depth 1.

First advice: never use depths settings unless you 
absolutely need it. Scan rules (filters) are generally much 
more powerful and more flexible.

> +*.gif +*.jpg +*.jpeg +*.png +*.tif +*.bmp +*.css +*.js -
> *.txt -ad.doubleclick.net/* 
> Any clue why I wont get the external pics

Because of the depth rectriction. Throw it away and it 
should work.