What's happened is this: According to the page source you've put in code like this:
< a href=" <A HREF= url </A>" > That is placing the url code inside a url code. This doesn't work because it's trying to take you to: http://subdomain.domain.com/index.html/<A HREF=url</A>
That of course doesn't work and doesn't exist.
Are you editing the index.html manually or are you going through a program to enter this?
If you can manually edit the index.html page, the above way to do this is simply take out the inside/second <A HREF code and replace it with directory/ inside the quotes of the outer <a href code. directory would of course be the name of the folder of the content you want to link to.