Until now I didn't try it and I'm usind
HTTrack for those proposes. My DW version is devel 19.06.2006.
Everything is fine as long as no PPT file is at the page! Word and PDF files are working fine. If an power point file exists anywhere on a page, it isn't parsed korrectly from httrack and all links are external. I think thats the same behaviour as you get.
My only idea to this problem is, its worth trying the latest devel version and if the prob persist, file a bug report.
BlackFog