upstream doesn't rewrite the host name?

[Mark Swanson]

This example from the documentation does not work for me:

http {
    upstream myproject {
        server 127.0.0.1:8000 weight=3;
        server 127.0.0.1:8001;
        server 127.0.0.1:8002;
        server 127.0.0.1:8003;
    }

    server {
        listen 80;
        server_name www.domain.com;
        location / {
            proxy_pass http://myproject;
        }
    }
}

In Firefox nginx is returning URLs like: http://myproject/...
There seems to be a step missing that converts myproject into the
server_name

I've tried the latest 0.7.26 and an earlier ubuntu (0.5.33-1). Both
behave this way.

I'm new at nginx and I'm sure it's my fault. I'm just not seeing it.
Any help would be appreciated.

Thanks.