> .NET Web site which I'm trying to mirror but every
> time I do so, it downloads all the external Web
> sites that are linked from my site as well. The site

That's not the default behaviour so something odd is going on.  Make sure
"Options > Experts Only > Global travel mode" = "Stay on same address"

Also as a safe-guard I'd recommend these filters:

-*
+www.yourwebsite.com/*