New domain WP subfolder = link refreshes header

Hi to all!
I have a new hosting service and a new domain for my wordpress.
The hosting url is “examplehost.net” and the domain is “domain.com”.

The migration went successfully and my wordpress is in “examplehost.net/blog”. It is fully working.
But now I want to change the site url with “domain.com”, so every permalink should be “domain.com/pretty/link” and NOT “examplehost.net/blog/pretty/link”.

I followed the Codex and it seems it’s working.
BUT I also have a persistent player in the header.php: when I click a link to a page or post in “examplehost.net/blog” it loads the page in the body correctly, without interrupting the music.
When in “domain.com”, every link refreshes the whole page, header, body and footer, and the player stops at every click.

How can I solve the problem? The site is for my webradio and the persistent player is the most important part of the site…

P.S.=the same problem is present also without the pretty links (eg. “domain.com/?p=123”)