> Is there an easy way to limit the httract to
> download files from one domain only? 
> 
> E.g. I'd like to download mypage.mydomain.com and
> all the links to mydomain.com only. 

The default is to limit to the starting domain only
Try this:
options -> Limits -> Maximum external depth = 99
options -> Scan Rules -> -* +*mydomain.com/*