Page jumps and separate pages in primary navigation

We're working on a website and I was wondering what the best practice for this scenario is. We are designing a website for our company and we aren't too sure if it's good practice to link to separate pages as well as linking to page jumps in the same menu.

I have a feeling that it will more than likely confuse the user that they might be going to a different page or to certain points on the same page. Has anyone else had any experience doing this?