The standard would be this:
header('Location: http://www.mywebsite.com/yourpage.php?id=32', TRUE, 302);
But to answer your question, yes it will redirect to the page X in the current folder if you don't put a slash at first or a complete URL.
Here's an idea I would suggest you do for every website you do. In your primary file (the main php file you use like config or whatever), create something like that :
define('URL', 'http://www.mywebsite.com/');
So when you create a redirection, a link or whatever, you do this :
header('Location: '.URL.'yourpage.php?id=32', TRUE, 302);
EDIT: November 2017. As pointed by @jordanbtucker below, the HTTP spec has been updated in June 2014 (this post is from 2012) to allow relative URIs in the Location header.
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