Your browser is Internet explorer, so when you enter c: (not a registered
protocol) it is Windows explorer and not IE that opens.
If you used another browser (except konqueror) it wouldn't work.
HTTrack can download a local site (html or php...) but to index all the files
and structure you should look for a cataloging soft : DiskCat for example or a
soft creating a html file (with filters) such as dirhtml.