Go to View->Code And Design (not just Design.)
The window should split in two - you will see CODE in the top pane, DESIGN in the bottom.
Look for the code like this:
When you create a link in Dreamweaver, it will initially create a local path, a path that is only present on your computer for the link. That is, for "link-to" above it may say
You need to remove the part before "page.htm" and it should work:
This will be true of all images and links you create in design mode - check your code window before uploading to your server.