Make sure you have up-to-date stylesheets installed:

    docbook-website >=  2.5
    docbook-xsl >= 1.70

If you're on debian, the website package[1] has a small bug[2]. Just
copy the olink.xsl from the SVN repository to your local installation
and overwrite the stylesheet (or create a patch or whatever).

Check:

    http://docbook.sourceforge.net/release/website/current/example/linking.html
--
[1] - The olink.xsl to be precise.
[2] - refer to bug #295053 on the debian bugtracking system
