Thanks for your response!

I'm using the latest non-beta release, version 3.33.

Okay, here's what I do:
After starting WINHTTRACK.EXE and clicking NEXT, I enter a PROJECT NAME
("articles") and select the BASE PATH ("D:\Clipboard-Links\downloaded" - which
I've created in advance, just to be sure). PROJECT CATEGORY stays empty.
On the next page, I select the "Download web site(s)" ACTION and add the URL
(file:///D:/Clipboard-Links/links.html).
In the SET OPTIONS dialog under LIMITS, I set both MAXIMUM MIRRORING DEPTH and
MAXIMUM EXTERNAL DEPTH to "1" (or "2"; neither works) and leave the remaining
options as they are.
Then I choose the connection settings ("Do not connect to a provider (already
connected)") and click FINISH.

This gives me the following log output:

HTTrack3.33+swf launched on Sun, 11 Dec 2005 13:36:20 at
<file:///D:/Clipboard-Links/links.html> +*.png +*.gif +*.jpg +*.css +*.js
-ad.doubleclick.net/*
(winhttrack -qwr2%e2C2%Ps2u1%s%uN0%I0p3DaK0H0%kf2A25000%f#f -F "Mozilla/4.5
(compatible; HTTrack 3.0x; Windows 98)" -%F "<!-- Mirrored from %s%s by
HTTrack Website Copier/3.x [XR&CO'2005], %s -->" -%l "en, en, *"
<file:///D:/Clipboard-Links/links.html> -O
D:\Clipboard-Links\downloaded\articles,D:\Clipboard-Links\downloaded\articles
+*.png +*.gif +*.jpg +*.css +*.js -ad.doubleclick.net/* -%A
php3,php,php2,asp,jsp,pl,cfm,nsf=text/html )
Information, Warnings and Errors reported for this mirror:
note: the hts-log.txt file, and hts-cache folder, may contain sensitive
information,
 such as username/password authentication for websites mirrored in this
project
 do not share these files/folders if you want these information to remain
private
13:36:20 Info:  No data seems to have been transfered during this session! :
restoring previous one!

All my other projects work fine (no proxy here, no firewall etc.), so it must
be the local file I'm using!?I'll be trying again with v3.40beta though.