This is because you are linking to pages that aren't there.
Since you don't actually have the pages on http://www.directorscut.me.uk/
that you are linking to the links to such pages fail.

I believe you are a little confused in what you are doing, you say you are
using forwarding yet you are using framing. You use one or the other.

If you are doing forwarding that means that one domain name is forwarded to
another domain name. The first domain name has no physical presence and thus
no page. The second domain loads and runs. For example -
www.davidbartosik.org and www.davidbartosik.net have no physical presence,
they forward to the real site of www.davidbartosik.com

If you do a forward you have no issue as the real site is the destination
and runs.

When I visit http://www.directorscut.me.uk/
I do not see a forward, I see framing.
You have a physical page on that domain that frames the actual page over at
http://freespace.virgin.net/directors.cut
And since the visitor is actually on the second domain none of the links
work because the other pages aren't on that domain that the relative links
point to.
So if you are framing the first domain than you need to add more frame pages
or change your links to absolute urls so you always point back to the first
domain explicitly.

I strongly recommend against moving Pub pages into FP and I recommend
against editing Publisher made html files.

My site has more info on web page building with publisher and in general.