it should be creating the redirects using document relative paths in the code:
WA_Auth_RestrictAccess("../visitors_LogIn.php");
or:
WA_Auth_RestrictAccess("../../visitors_LogIn.php");
I just tested this on my system and the paths are being creted correctly using DW CS4 on Mac OS, What Dreamweaver version are you using? And what is your OS?
Can you double check the code, is it using a document relative path?
Can you send a copy of one of the pages?