Ok I found some clue.

When I click on a link on www.rom-world.com it gave me a file on
www.xgamedatabase.com with the following structure:

<http://www.xgamedatabase.com/check/getfile.php?id=25044>
<http://www.xgamedatabase.com/check/getfile.php?id=25045>
<http://www.xgamedatabase.com/check/getfile.php?id=25046>
etc...

So I create a file with all the file number I want and gave it to Httrack but
it doesn't work. It seem to download the file (zip file) but no zip file where
found in the download folder. I tried to change some parameters but doesn't
change anything.

What I do wrong?