I got it to go, in case anybody is interested. Here is the 
filterset I used:

+*.css +*.js -ad.doubleclick.net/*
+*.gif +*.jpg +*.png +*.tif +*.bmp
+*[name].yimg.com/*
-*[name].bgctuc.org/*    <----(This is the only external 
link on the target site)
-http://privacy.yahoo.com/privacy/us/
-*[name].store.yahoo.com/*

And then had it mirror 10 links deep for both internal and 
external links. It was then able to get the images and in 
fact renamed them to JPG files when set to save as HTML in 
\web/ images in \other/. Thanks for help everyone who read.