Ill try explain how its setup...
in Jdownloads I have a category called acapellas, in this category there are 27 sub categories, A,B,C etc etc, all have files in them, so it goes like this...
Downloads > Acapellas > A > files
In the Joomla menu manager, I have selected single category from the jdownloads selection, and then selected the acapella category in the dropdown...
Downloads > Acapellas > A
So the menu has been setup correctly, but when you use the category links in the component (not the menu) the url it generates is different to what the menu links are.
I have also noticed another problem, that the link generated by the component is adding the names of other catagorys. so 2 catagorys that are separate are being added to the link.
I suppose the best way to understand it is if you see it for yourself, but im not sure I can post a link to my site in here.
I have sent you a link via PM to a video that shows the problem. it will explain it far better than I can.