> but always do downloads files from other servers  
> 
> like  i gave a link  <http://mydomain.com/myfile.asp>
> but it downloads also 
> <http://otherdomain.com/otherfiles.asp> 


By default HTTrack should not go to other servers.  Check that you have this
option set:

Experts Only > Global travel mode > "Stay on same address"

Also you may want to use filters (scan rules):

-*  +mydomain.com/*
+*.gif +*.jpg +*.png +*.js