> With the filters:
> +www.example.com/download_example.php?file=*.jpg
> -*
> It downloads nothing

As expected :)

> With the filter:
> +www.example.com/download_example.php?file=*.jpg
> It dowloads the whole site

As expected :)

--

If Bill is right in the other post, this may not work.  But I thought
something similar had worked for me before.

Instead of using the filters this way:
> +www.example.com/download_example.php?file=*.jpg
> -*
try entering them this way:
-*  +www.example.com/download_example.php?file=*.jpg
or this way:
-*  +www.example.com/download_example.php?file=*[name].jpg

If I understand correctly, each filter in the line overrides previous filters. 
So by entering "-*" last, regardless of what you have preceding it, you are
telling HTTrack to filter out everything (and thus save nothing).  By entering
it first, you are telling it to filter out everything except what follows as a
"+".

It still may not work due to specifics of the site, but it has a chance to
work this way as opposed to the two ways you were trying before.  In fact, you
may also need to make sure "Get non-HTML files..." (WinHTT Options, under
Links) is CHECKED because the image files will be in a folder structure that
is outside your filters.  Or you can determine the general location of the
image files and add that as a filter, e.g.
+*example.com/images/daily/*[path]*.jpg

This guide helped me a lot:
<http://www.httrack.com/html/filters.html>