Edited after venkat's comment:-
According to your last comment, the code you have problems with is the following:-
<?php
$link="www.google.com";
echo "<a href='#' onclick=window.location='$link'>Click here</a>";
?>
This above code should actually be the following:-
<?php
$link = "http://www.google.com/";
echo '<a href="'.$link.'">Click here</a>';
?>
The reason for adding the "http://" string is that the variable "$link" is going to be used as an HTTP URL, which requires mentioning of this "http://" string, mainly because of the protocol to be used by the browser. In this case, the protocol is HTTP.
Always remember that for any URL, there must be a string "http://" at the beginning of the URL string, when stored in either a database / variable.
Coming back to the code in your question, which was:-
<?php
// getting from database
echo '<li onclick=\"window.location='.$result->website.'\"><a href="#">'.$result->option.'</a></li>';
?>
Now here the position of "window.location" is not totally correct. It should have been in "href" attribute of "a" element, instead of putting it in "onclick" attribute of "li" element.
So the code should actually be:-
<?php
// getting from database
echo '<li><a href="'.$result->website.'">'.$result->option.'</a></li>';
?>
Hope it helps.