Just tested this out on the demo page using the Wrath template. If you click the box that says "Is this just a link to another page?" and then type in www.whatever.com, the site will link it incorrectly as blah.dkpsystem.com/www.whatever.com. However, if you put in the address as http://www.whatever.com it will show up correctly.

Yep, make sure that you include the http:// at the front, otherwise it's considered a "relative" link.

Thanks a lot!