> I have some references like this
> <a href='/' class='sitelink'>Página Inicial</a>
> But after HTTrack I have this.
> <a href='index.html' class='sitelink'>Página 

Yes - / is always named, because the HTTP protocol 
defined a "default" page (generally index.html) that 
can be accessed through /

> I unchecked the index at HTTrack configuration, but 
is 
> not working.
> I had to change all files one by one.

But why do you want to change this? If you put "/" 
this won't work locally (this will display the 
directory index in best cases)