I setup a mailing in civi and in the email there are links to web pages not on the civi site. When I send the test message the link is changed to the civi site and not the actual link.
example good link
link that shows up
If you set your mailing to track clicks on links, it automatically replaces every link with an auto-generated CiviCRM url - this will redirect to the original link, but has to go through CiviCRM to be tracked.
If you haven't chosen to track clicks, or if the CiviCRM url just goes to your site without redirecting, then there's a problem, but otherwise it's intentional.