Umm, I think its because, the DOCUMENT_ROOT holds the path to the server root with respect to the Server's file system. So it will contain some path like "c:\program files\apache\htdocs", when a client clicks that link, it is actually looking for the file in the client's comp. So instead of DOCUMENT_ROOT, i think you shudd use:
$_SERVER['HTTP_HOST']
which will have some thing like "www.your-domain.com"