> My problem is... I want to download a website
> (example.com), some links refer to directories
> (example.com/foo/bar.html) and some links refer to
> (new.example.com/bar/foo.html).
> 
> My question is if the files from the subdomain
> (new.example.com) are downloaded by default.
> 



No, not by default.  In WinHTT, you may go to Options -> Experts -> Global
Travel Mode and change from "Stay on the same address" to "Stay on the same
domain".

It would work a little differently, but if you understand the filters - or
"Scan Rules" - you *might* get the same result by adding "+*.example.com/*"
*IF* that is what you want to do.

Hope that helps,
~B^D