First of all, check that the link is correctly spelled, and that the correct case is used - INDEX.HTML is not the same as index.html.

Next, check the file paths. A common error is to leave the location relative to another computer's filesystem, eg:-

Link

This is incorrect as it refers to a file on your PC, not on our servers. File paths should either be absolute, eg:-

Link

or relative, eg:-

Link, if mysite.html is in the same directory as the page that it's linking from.

Finally, check that there are no conflicts with other scripts on the site. Many major CMS's such as Wordpress and Joomla use URL rewriting that will interfere with the correct operation of links.