> Just tried using HTTrack for the first time.
> But I couldn't get it to NOT download external links.

Did you erase default filters (+*.gif +*.jpg..) in 
Options/Scan rules?
> I tried setting the 'Experts Only' options, 'Global 

Never change 'Experts only' options unless you exactly 
know what theses options are doing

If erasing default filters is not sufficient, use 
strict filters:
-* +www.yourdomain.com/*