Okay...so you had some problems.  Just take a deep 
breath and see what can be done about it...

I have used HTTrack just fine on cable, dsl, T1 based 
connections just fine.  I'd suggest you test with 
another site to see if this site is blocking you 
somehow.

Who is your internet provider?  How is your access 
provided?  What OS are you using?
Usually you do not use a proxy.  Favorites/Bookmark 
access isn't part of this version...the only website 
copier that I've seen with that is WebReaper (which 
can't do javascript).  Anyway, its not hard to 
copy/paste URLs (Ctrl-C / Ctrl-V)...

If nothing else, there are numerous other website 
copiers but none as powerful as this one.  Others I've 
used include WebReaper by Marc Otway and NetAttache.