Links in annotations are created by square brackets. Relative URLs link to the MB Wiki ([Style/Titles] => http://wiki.musicbrainz.org/Style/Titles),
for other targets you have to use the absolute URL ([http://musicbrainz.org/artist/7746d775-9550-4360-b8d5-c37bd448ce01]] => Weird Al's artist page).
If the current domain is not "musicbrainz.org" but "beta.musicbrainz.org" or some personal test server, absolute URLs link away from that domain.

Please find a way to use relative links in annotations at least for MB entities like artists, releases, etc.