The problem is that you are previewing the page from the file system rather than through a web server.
Menu writer creates site relative links, in other words preceded with a slash. This is so the same menu can be used on multiple pages in your site with out having to make changes to accommodate for different paths.
When previewing the page from a web server, the forward slash tells the web server to go to the root of the domain, then look for the path in the link.
You are previewing from the file system however.In this case, the forward tells the browser to look for the path at the root of the drive you are on.
If you upload your pages to your host, the links should function properly.
