I've tried 3 options : 
- default --> :-) doesn't work
- URL absolute / URL absolute --> no good, because not relative
- URL original / URL original --> doesn't work

To resume my problem, when the file of the link is downloaded with winHTTrack,
the link is good (/exemple/test.pdf) but when I don't download the file with
winHTTrack (with the filters on pdf, doc, xls) the link stay with his original
link (http://www.mysite.com/exemple/test.pdf).

You will say, download all the files and it will works... but I can't because
there are too many files (6-7 GB) and winHTTrack is too slow...

Joachim