Based on your comment where your URLs are using file:/// paths, this is the reason.
Because you're presumably using an WAMP stack (Windows, Apache, MySQL, [PHP][Perl][etc.]) installed on your machine, it acts a server, so you will need to call actual URLs with the Hypertext Transfer Protocol, rather than disk file paths.
If you had called the file absolutely from the disk, ie,
file:///C:/Websites/index.html, the URL to the other pages should have worked. However you went via localhost (the right way), instead.
Be sure to start all your URLs with http://localhost/[yoursitefolder]/ (or relatively) to avoid this issue, especially when you finally decide to upload to the web.
Also, what Moses meant was sometimes devs use a lone hash (#) as a placeholder for an actual URL, simply to create an anchor on the page. This wouldn't take you anywhere.
Finally, not part of the question, but don't use capitalised HTML tags, they're ugly and I'm pretty sure not recommended :)