Yes the mirroring depth is very messy, what's called "mirroring depth" is the
depth for the links belonging to the site of the addresses you put, at least
as long as you don't change the "Global travel mode" in "Experts only", at
which point I don't know what happens.
"External depth" I think in theory should be the depth for all the other
links, but in reality even with a depth of 1 it usually follows a good part of
the web and downloads useless sites for days, so it is best to keep it always
at 0 and look for other means if you need external links.

A "Maximum mirroring depth" of 1 gets only the addresses you put, without
following any link, what I would consider a depth 0... Depth 2 gets also the
links found on those addresses, depth 3 goes one level further and so on. If
you leave the field blank it should keep following all the links of the site.
Even depth 0 seems to do something but it's probably unwanted.

The big problem often, even after you understand the numbering, is with the
"deepest" pages, the ones at which point it should stop downloading other
links. It does stop, correctly, but it also assume that every link at that
point refer to an unreachable page, even if it is one it has already
downloaded, and all links at those pages will simply be written as absolute
links to the online site. So for example it doesn't convert "upper section"
links in sites of manuals or "previous page" and so on. It even translates the
originally relative links, which often would work as they are, to absolute
external ones.
So you have to add a further level of depth if you want these links to work,
which often means downloading tons of other things you don't want.

As to those to links though is seems simple,
<http://today.java.net/pub/a/today/2005/02/09/j2me1.html>
seems to be only one page, plus one big erroneus link, so you can just save it
with the browser or use a depth of 1 in winhttrack.

<http://www.java2s.com/Tutorial/Java/0430__J2ME/Catalog0430__J2ME.htm> all the
pages you want seem to be under
<http://www.java2s.com/Tutorial/Java/0430__J2ME/> , so if you let the the
"Travel mode" in "Experts only" at "Can go down (default)" it should fetch all
and only what you want by simply leaving the "Maximum mirroring depth" blank,
or putting an high number (and external links to 0).