By default, browsers tell servers what page they're coming from, i.e., the page on which the link to the page was clicked. The justification for this is hazy--I can't imagine why I would want to give this information to any server.
I used to use RefControl to block referring information (note the HTTP spelling is referer[sic]). Unfortunately, the current version of RefControl doesn't work with Mozilla/5.0 (X11; U; Linux i686; en-US; rv:126.96.36.199) Gecko/2009090216 Ubuntu/8.04 (hardy) Firefox/3.0.14, so I went in search of something that would work. I tried No-Referer and Refspoof, neither of which appear to work at all.
A little Googling led to the Web Developer Toolbar, which does successfully block the referring page. It's a bit heavier weight than I wanted, but it works, and it does have other features I may use over time.
Check to see if your referer information is shared.