If you use an external program to make your pages, or parts of your pages, ensure it converts to your web directory.
A client just used GoLive to create the link and copied it to his website. The link didn't work because he copied the local directory link, <a href="file:\\c:\somedir\test.html">, not the web directory link.
If anyone, including spiders, follows the misconfigured link, it'll show up in your stats.