Dave has given the right answer (as far as i can see) - but it takes a little while to notice that the two bits of code (yours and his) are actually slightly different.
You'll notice bill that dave's <a> markup has the code "http://" before the web site address - if you dont put this in then your browser will assume that it's a local address you're tring to get to (so if you were on this site, it would try to link you to http://forums.webdeveloper.com/www.yoursite.com/yourpage.html). By putting in the "http://", you're effectively telling the browser to "start from fresh" with regard to the link.
That's about the best way I could come up with for explaining it, but think that if you make that change your link will work. (you'll also be able to notice it by looking at the status bar (the grey bar at the bottom of IE, above the task bar) and seeing what that display's when you hover over the link - try it before you make the change i suggesed above and after to see it in action). if it doesnt help though, then if you post a link to your site then we'll be able to have a look at exactly what the problem is. Hope that helps.