You have to provide a full URL (external link) as you should have to do for any external website.
OR,
you can buy the Multi Sites Menu Item extension that provide the facility to compute that for you.
www.jms2win.com/download?page=shop.produ...36&category_id=1
This extension read the target DB website and compute directly the full URL for you.
This avoid to update the calling URL when you update your target menu item as it is computed automatically. Otherwise, you shoud have to update each website where you reference a menu entry.