The pdf at this address: <http://www.tracker-software.com/PDFXVE3man.pdf> is
saved as .html.
You can try even simply with a project with just that address and the default
options, although I first encountered it as a link in a more complex project.

What I noticed that's special of this url is that the server first returns an
HTTP 302 Moved Temporarily status with a "Content-Type: text/html" and a
redirection to
<http://34e34375d0b7c22eafcf-c0a4be9b34fe09958cbea1670de70e9b.r87.cf1.rackcdn.com/PDFXVE3man.pdf>.

HTTrack follows the redirection, and the file at the second address is
correctly reported by the server as a "Content-Type: application/pdf" (it is
even so described in the WinHTTrack progress dialog) but HTTrack possibly
considers only the first Content-Type and so saves the file with a .html
extension.

Of course the file is really a, valid, pdf.