Thanks for your answer.
You were right on this.
<http://www.sky.com/css/global/portal_globalnav.css> was not on the website.
I have added the argument -n and it fixed partially my issue.
Partially only because the first page is good but not the links downloaded.
For example when i go to the locally downloaded link "Postal Union Delivers
Royal Mail Ultimatum " from <http://news.sky.com/skynews/> the style is not
good. 

I am using -r3 too. Ideally i would like httrack to download this link "Postal
Union Delivers Royal Mail Ultimatum " and the stylsheet related to it as
well.
Then httrack should do the same for all webpages. i don't mind having less
webpages. I would like to have good good quality webpages(Css + html first)
when downloading 3 MB.

How can I do that ? Am I explaining well my problem ?