> Capture URL button to do this. It opens up a window asking
> me to temporarily change the proxy setting in my browser 
to
> the one listed and then go to the page where the login 
form
> is and click on the submit button. Apparently winHTTrack
> will capture this login and be able to download the site.

Yes - the system is quite simple:
- httrack installs a "fake" proxy server
- upon submit/login click, the browser is passing 
authentication data (generally POST request) through the 
proxy
- httrack just has to play later this request so that it 
can get an entry point to download the website

This *generally* works, but not always.

> I am using IE 6.0 and I went into the connection tab and
> clicked on the 'Setting..' button and changed the proxy
> server settings. Do I need to also go to 'Advanced' tab 
and
> check the Use HTTP 1.1 through proxy connections as well.

Don't use HTTP/1.1 through proxy, this can cause troubles 
to the (rather basic) internal proxy handler

- get to the login page
- fill all login settings
- use httrack and change your browser proxy settings
- then, click on the login button

At this point you should have a page that says "URl 
captured": you can setup httrack settings if necessary, and 
run the mirror. (you can restore your browser settings)

Again, this does not always work ; but in most cases, it 
should.