External links won't work..

I’ve been encountering this problem for a while on all of my WP sites..
Basically, whenever I post some kind of external link , they appear as subdirectory of my site..

For example:

I post a link such as for example “www.site.com” on a page of my blog.
But then, when someone click on it, they’re not being redirected to “www.site.com” but instead, to “www.mywpsitedomain.com/www.site.com” and obviously it doesn’t work…
What can I do to fix this?

Any help would really be appreciated ..

PS: I doubt this is related to my theme setting, as I am encountering this problem on several blogs of mine , and they all have different themes, including one which haves even the default wordpress “twenty-eleven” theme..