> Is it possible to change the way of building filenames 
> when saving a dynamic page?
Options / Build / User-defined stricture (or in 
commandline, option -N ..)

> For example if I have a file like the following:
> page.php?pid=12345&zid=9876&id=4567 
> I want it to be saved as:
> pagepid12345zid9876id4567.html

%h%p/%n%[pid:pid:::]%[zid:zid:::]%[id:id:::].%t

> or
> page_pid_12345_zid_9876_id_4567.html

%h%p/%n%[pid:_pid_:::]%[zid:_zid_:::]%[id:_id_:::].%t

> or
> page_pid12345_zid9876_id4567.html

%h%p/%n%[pid:_pid:::]%[zid:_zid:::]%[id:_id:::].%t

See the httrack --help commands:

Details: User-defined option N
  '%n' Name of file without file type (ex: image)
  '%N' Name of file, including file type (ex: image.gif)
  '%t' File type (ex: gif)
  '%p' Path [without ending /] (ex: /someimages)
  '%h' Host name (ex: www.someweb.com)
  '%M' URL MD5 (128 bits, 32 ascii bytes)
  '%Q' query string MD5 (128 bits, 32 ascii bytes)
  '%q' small query string MD5 (16 bits, 4 ascii bytes)
     '%s?' Short name version (ex: %sN)
  '%[param]' param variable in query string
  '%[param:before:after:notfound:empty]' advanced variable 
extraction
Details: User-defined option N and advanced variable 
extraction
   %[param:before:after:notfound:empty]
   param : parameter name
   before : string to prepend if the parameter was found
   after : string to append if the parameter was found
   notfound : string replacement if the parameter could not 
be found
   empty : string replacement if the parameter was empty
   all fields, except the first one (the parameter name), 
can be empty