K, is it "about.html" or "About.html" ( Notice the uppercase 'A' )
Also, Just a quick lesson.
Using "about.html" means an absolute link , Ie: The "about.html" is in the same directory as index.html.
As a tip. I would say keep all files lowercase. It just makes life easy when you host on a filesystem that bitches about upper and lowercase.
As long as index.html and about.html are in the same directory, All should work fine. Just doublesheck your Upper and lowercases.
Also,
If you want to test and play about with HTML and websites, install "WAMP"
http://www.wampserver.com/en/
It will create a webserver on your local machine, It will install MYsql and PHP for scripting ( when you learn a bit more )
You can control the wamp server from the system tray ( next to the windows clock, bottom right )
Essentially, Once installed, you put your files in somewhere like c:/www/ and then open a browser and browse to
http://localhost
It will act like a "real" server and means you likely wont get this strange issues when trying to test stuff locally.
Just my thoughts here and helpful advice from someone who has been there many years ago.