Linking pages together
Permalink( Dashboard > Systems & Settings (lower left) > SEO & Statistics (Top center) > Pretty URLs )
EDIT: The path to pretty URLs may vary... I just noticed the version of Concrete5 your site is using is a couple years old. Let me know if you can't find it. For version 5.4.2.x Try Dashboard > Sitewide Settings > Linking (upper right) and check off pretty URLs
Adrian
Also: When you save the auto-nav block, you may want to hover to edit again, but select custom template instead to choose a horizontal menu style