I have an example: 
The Link on the original website is:
<http://www.box.net/shared/static/l6j50obui4.wmv> The file is stored on a
filesharing website.

During download with HTTRACK - the link was changed by HTTRACK to
<file:///C:/Users/Name/temp/Promo2/WEB/ASX/L6J50OBUI4.ASX> in the html file.
When HTTRACK starts a ASX folder is created. 

One time last week HTTRACK created a folder structure with WMV, MPG, PDF
folder etc. But today only ASX and PDF. All Video files are store din the ASX
folder as an ASX file.