Go to www.djbdns.org. Click on the FAQ link near the top of the mainpage. On my build of Mozilla (source from CVS 8th of Feb), the URL bar still says www.djbdns.org. It won't change, despite any links I may click.
Both IE 4.72 and Navigator 4.08 for Win95 do the same thing. Also, on all 3 browsers (Moz,IE,Nav) opening the link in a new window shows the "correct" page.
Don't know if this bug is valid or not. http://www.djbnds.org index-page is a frameset, and the frameset remains even if you don't see it. Since the FAQ link isn't told to open in _top, it opens in the main frame instead. Thus, you still see the originating URL in address field.
resolving as invalid per comment. This is the expected behaviour.