The menus created by Menu Writer use Site Relitive links so that the menu can be on pages through out your site without having to re calculate the relitive paths.
Site relative links cannot be reviewed from the file system. They can only be previewed through a webserver.
You can install a web server on your local computer to allow you to preview the site locally before uploading to the remote host.
Mac OSX ships with Apache and Windows Vista ships with IIS for this purpose.