Very pretty site!

Very odd behavior for that link. In includes/templates/YOUR_TEMPLATE/common/tpl_header.php, you probably have something like

Code:
<div id="navMain">
    <ul class="back">
    <li><a href="http://mydigitaladdiction.com/downloads/">Downloads</a></li>
Change it to

Code:
<div id="navMain">
    <ul class="back">
    <li><a href="http://mydigitaladdiction.com/downloads/index.php">Downloads</a></li>
I don't know why it's not picking up the index.php automatically. I have something similar on a site I'm working on and it seems to be fine.

You don't want people seeing the directory structure like that. It's a security risk.