Looking at a similar report I figured I'd better add more 
details:
I select a project name and path, Next, Type in URL, check 
my Options (apart from Proxy settings, I don't think I 
changed anything), Next, I don't touch the connection 
settings, Finished, next window opens, no details appear 
and after a few seconds WinHTTrack closes. No error message 
whatsoever.
I am using Win2K Server (Japanese). This program has worked 
before on this system, with (AFAIR) the same settings, for 
other URLs.