The checkbox is already activated.
I had also unchecked the box to see the reaction of 
HTTrack. In this case it ignored all non-html files and 
finished the download without an error message.
If the box is checked HTTrack tries to connect but does not 
manage to download the non-html files.
I have checked the links with the Internet Explorer and 
there they worked alright.
Do you have any ideas?