As fireplace said it is probably a linking problem.
I've always had trouble understand the linking concept without an Apache server. For some reason I keep thinking you cannot use the relative path without localhost, but I just tested this on windows and you can. Are you running on localhost?
If the file is .php and you are not running with some kind of localhost bundle, it will not work as your computer does not have php installed (is that the reason lol?).
Try using the absolute path as I'm curious to whether this is the problem. If you are using notepad++ or pnotepad or some kind of smart notepad, right click the tab ("asdf.html" in my example) and select "copy file path" or "full file path" or something of the sort and use it in your link href instead.
Muahaha sunfighter, too slow