Ad links in sidebar not working!

I have put ads into my sidebar with the text widget. but when i click on the ads on the site they redirect to http://www.mydomain.com/www.adurl.com so basically its not redirecting to the ad because it has my domain attached to the beginning of it instead of it just having the url of the ad. But when i put it in the text widged i did not include my domain in the beginning. So it seems to me its treating the ads url as a sub domain instead of going straight to it. How do i fix this?