This is what result I need:
Thank You in advance :)
1. Manually delete these index files after the download completes - select the downloaded Project, click Find Contents and type index in the Only For Files field. Click Find. Then click in the found files list and press Ctrl+A to select them all. Click the Delete button.
2. Automatically delete such files during download - add a line in the Project's URLs field:
These files will be downloaded, processed to extract links and deleted after that.
I managed to get the part of structure by suspending downloading and copying all folder names from queue.
But it's very timewaisting and slow process... because I'm extracting huge site