There is a setting in Wordpress under Settings > General called "Wordpress address (URL)" and "Website address (URL)" - They should match the server that you're running that instance of Wordpress off.
If you migrated the site by importing your local DB into the live DB (or vice versa) you'll need to change that setting.
From memory it's a setting in the wp_options table (if you used the default prefix on your tables).
Changing that setting won't change links in your content though that are linked with a fully qualified URL.
Normally when I migrate from Local to Live (or vice versa) I simply run a Search and Replace on the SQL file.