in the site definition, try changing the setting "Create Links Relative to:" from "Document" to "Site".
some ASP servers have the Disallow Parent Paths setting turned on, this prevents the use of relative links like ../../Connections/connMyConnection.asp
setting "Create Links Relative to:" will force Dreamweaver to create the connection include line using include virtual:
<!--'#include virtual="/Connections/connMyConnection.asp" -->
to over come the issue.