Your suggestion is only a work around.
Version 3.32 works OK. All the others after that including the beta-10 don't
properly handle extentions.

On the download page:
 Download - <http://www.httrack.com/page/2/en/index.html>
you have:
httrack-3.40-2.exe - <http://download.httrack.com/cserv.php3?File=httrack.exe>

version 3.32 correctly makes an exe but the others create a html:
HTTrack3.40-2+swf launched on Mon, 09 Oct 2006 14:29:56 at
<http://www.httrack.com/> +*.css +*.js -ad.doubleclick.net/* -*microsoft* +*.gif
+*.jpg +*.png +*.tif +*.bmp +*.mov +*.mpg +*.mpeg +*.avi +*.asf +*.mp3 +*.mp2
+*.rm +*.wav +*.vob +*.qt +*.vid +*.ac3 +*.wma +*.wmv -*.zip -*.tar +*.tgz
-*.gz +*.rar +*.z +*.exe -*.gif[<9] -*.jpg[<9] -*=D -*/src/* -*/fr*

(winhttrack -qir5C2%PnxX0s0u1Z%s%uN4%I0p7DaK0c4T60J10R2H3%kf2o0%c5%f#f -F
"Mozilla/4.0 (compatible; MSIE 5.0; Win32)" -%F "<!-- Mirrored from %s%s by
HTTrack Website Copier/3.x [XR&CO'2004], %s -->" -%l "en, en, *"
<http://www.httrack.com/> -O1 "C:\Documents and Settings\Bill\My
Documents\_internetDLed\httrack" +*.css +*.js -ad.doubleclick.net/*
-*microsoft* +*.gif +*.jpg +*.png +*.tif +*.bmp +*.mov +*.mpg +*.mpeg +*.avi
+*.asf +*.mp3 +*.mp2 +*.rm +*.wav +*.vob +*.qt +*.vid +*.ac3 +*.wma +*.wmv
-*.zip -*.tar +*.tgz -*.gz +*.rar +*.z +*.exe -*.gif[<9] -*.jpg[<9] -*=D
-*/src/* -*/fr* )

13:43:25	Debug: 	(wizard) shared foreign domain link: link
download.httrack.com/httrack-3.40-2.exe at
www.httrack.com/page/2/en/index.html

13:43:25	Debug: 	Changing link extension
download.httrack.com/httrack-3.40-2.exe to .html

13:43:25	Info: 	engine: save-name: local name:
download.httrack.com/httrack-3.40-2.html -> web/httrack-3.40-2.html

13:43:25	Debug: 	Final type for download.httrack.com/httrack-3.40-2.exe:
'text/html'

13:43:25	Debug: 	Record: download.httrack.com/httrack-3.40-2.exe ->
C:/Documents and Settings/Bill/My
Documents/_internetDLed/httrack/web/httrack-3.40-2.html