It seems that the links on the pages at the last mirroring depth are always
written as external, even if they refer to pages already downloaded by
WinHTTTrack.
For example the page at <http://www.lua.org/pil/> is the index of a book, all
the things I want are linked at that first page, so a depth of 2 should be
enough (intuitively I would even think 1 should be enough); I if set it so
everything is downloaded, the problem is every section of the book has links
to the previous and following sections, always things that have been already
downloaded because they were listed on the index page, but the links on the
saved pages are written as external links. If I set the depth to 3 they are
written correctly to point the local pages, but then also many other things I
don't want are downloaded.
The nice thing is that in this example the original pages have relative links,
so they would be correct if they were left untouched.