I never had any success copying the cookie from IE (but I'd 
like to see a working example :-). 

However, I managed to solved the problem by using Mozilla 
to login to the website (in my case 
<http://chicagosports.chicagotribune.com>), copy the relevant 
cookies from Mozilla's cookie.txt file and paste it into 
the cookie.txt file of HTTrack. I then updated the website 
by running 'httrack --update' and now the links are being 
copied perfectly.