<li><a href="file:///C|/Documents and Settings/Administrator/My Documents/Unnamed site2/CSS/brands.html">Brands</a></li>
It is always giving me this problem.
Dreamweaver creates relative file paths. Meaning that the html file and all files being linked must be in the same folder. If you have a file not in the same folder as your original file is will generate a path to that specific file, which explains the error you are seeing. You need to move the "CSS/brands.html" file into the same directory as "Unnamedsite2" Once completed you will have a relative path, so the code will be
<a href="Unnamed site2/CSS/brands.html">Brands</a>