I had the same confusion when I started coding too — you're definitely not alone.
The issue you're seeing happens because your link is relative to the location of the current file. So if file1.html is inside a folder called html_tests, and you try to link to something like test3/file2.html, the browser thinks you're saying: “Inside html_tests, look for a folder called test3, then find file2.html.”
Go to file2