Your server needs to have the proper mimetype declared in order for the Kindle's browser to recognize the mobi file you're trying to serve.
For Apache webservers, add the following to your server conf:
AddType application/x-mobipocket-ebook .mobi .prc .azw
You can also add that same line to your .htaccess file if you don't have access to your webserver's configuration.
If you don't have any kind of access to your webserver (other than downloading/uploading files), you can try creating the link on your webpage in the following manner:
Code:
<a href="www.yourwebsite.com/ebooks/test.mobi" TYPE="application/x-mobipocket-ebook">Click here</a>
That's pretty hit or miss depending on the webserver's configuration, though. You should really use one of the first two options if you can.