I have 14 of those errors in the middle of downloading log. Maybe its because
site crashed. But the weird thing is that HTTrack did download .php scripts. 
I can open them in KWrite, but when I click on it and select "Open with
Mozilla Firefox", Firefox opens and a message pops up saying "Do you want to
download the PHP Script?"

Also, I noticed that every file that I can open in Web Browser is in ".html".
I guess HTTrack converts them to html from php, but an error occurred in the
process and it failed.

Now, I was thinking, is there a option to scan and download the files that
have connection to it.

For example. We have a html file witch is pointing to another file witch is a
php script.

Now the trick is: if the php file is re-downloaded and converted to an html
file. The first file is still pointing to ".php" extension of re-downloaded
file. And we will have an error that the file does not exist. So, the question
is: does the engine "think" about that little problem?
Thanks!