FlashBack - you need to complete the installation in order to solve your problem. There is one part which you appear to have missed, and without checking your code, this is an educated guess.

In the includes/functions/html_output.php file, find the zen_href_link function, and rename it to original_zen_href_link. You then need to copy the new function from the install guide, or the packaged files, depending on your download version.

This will then ensure that the actual links are created as SEO links, rather than standard links which are redirecting when they are clicked.

Pete3006 - any chance of a URL?

Absolute