Drupal - link field does not validate http://
In drupal 7, go to your content type in:
/admin/structure/types/manage/yourcontentype/fields/
Edit your field and check if it is validating your URL. I have attached a picture for better explanation.
I would have a look at clientside validation. Alternatively you could use hook_form_alter to add in your own validation by changing $form['#validate'] to point to your custom validator.
If you go down the programtic route and just want to check the format you could use PHP FILTER_VALIDATE_URL Filter function which would return true if its a url. Additionally, I would look at using CURL to verify the url actually exists.
Hope this helps.
In the D6 version at least, there is a checkbox for validating the link:
so I'd first make sure that's checked on your site before any custom coding...