The most obvious reason is that you're trying to download 
www.hmv.ca and set "External depth" to 0, and the site is 
amazon.com/..., so it's "external" and httrack doesn't 
download anything.
Try setting the initial url to amazon.ca/...
A personal advice: don't download this site, it looks like 
a mirror of amazon.com and that is definitely bigger than 
your harddisk (or will take WEEKS to download).