YouTube iframe, browser looks for file locally

YouTube iframe, browser looks for file locally

I have a problem where I am building some html pages on my local machine
and I am trying to embed a youtube video into a page using the provided
code:
<iframe width="560" height="315" src="//www.youtube.com/embed/oBjWLXLroWc"
frameborder="0" allowfullscreen></iframe>
However when I test the page locally I get file not found
C:\desktop\testsite\http://www.youtube.com...., etc
Anyone know why this is happening, I don't believe I have encountered this
before.
Browsers used are latest FF and latest Chrome, both show file not found.
Have checked all code and nothing seems wrong, I can show local content
(same directory) in the iframe no problem. Also tested with other external
sites/resources and same issue.
Thanks