This looks to me like you are previewing the files from a temporary location. This may have some effect on the linking of the pages. In your DW preferences under the preview in browser settings there is an option you can check to have the pages previewed from temp files. If you have this option checked you should uncheck it then preview the pages to see if the error still occurs.
Can you confirm that the connection folder and file are in the root of this site based on the setting defined in the testing server for DW?