Martin, you have to use an absolute link (one starting with //).
If you don't put a slash at the start of the address (i.e. after the protocol (http:, ftp:, mailto: ...) which is http: by default), the address is interpreted as relative to the current file.
If you put one slash at the start of the address it is interpreted as relative to the webserver-root of the current file.
MudGuard