When i go to mydomain.com or towww.mydomain.comeverything is fine, but after i click a link in my site which sends me to a page or a post within the site the domain changes to my host link (host is made with wordpress, i don't know if that's important).
Not stupid at all @Achey. You'd be surprised at some of these website templates. Many of them have hard coded in urls that making changes to the "back-end" settings won't apply to. One would only guess that it wasn't done on purpose, but sometimes you gotta wonder. Leaving a single url to drive traffic to their site can generate alot depending on the popularity of the template. Anyhow, another way to do what that menu option did was to simply search for and replace urls withing the templates text. You can also find URLs that haven't changed to your domain like they are supposed to. Just edit it in a text exitor of any kind and find "http://"