Email campaign URLs not working with Domain setup

The URLs in my email campaigns are not being directed to the correct URLs (yielding 404 page not found errors).

The documentation says to point my domain (ie. www.mywebsite.com) to Netsuite, however, since my website is not hosted by Netsuite that would mean my entire site would not be accessible.

My impression was that after setting up the domain name in Setup->Website->Domains and then selecting hosted as Email Campaign the URLs in the email campaigns would just forward/redirect to the appropriate URLs (ie. http://www.mywebsite.com/somepage.html)

So far the latest upgraded version has been a nightmare for us as everything isn't working properly (from uploading data to email campaigns) and the documentation so far hasn't been helpful at all.