I found now why: in the Internet Properties, LAN Settings, leave enable “Automatically detect settings”, but uncheck “Use a proxy server for your LAN”.
As soon as I unchecked that box, I was able to create pdf s from Web page without any problem, including appending a second level of sites figuring in the original site.
I hope that this will help guys that are in trouble with this problem, according to the many complaints that I have found on the web.