CustomPress categories problem

CustomPress categories are working for the most part, but the URL of the categories are extremely non-SEO friendly, see:

http://dvdreleasesandnews.com/?taxonomy=movies_genre&term=action-movies

Is there a way to get these to show up as something like this: movies_genre/action-movies

I have tweaked the settings in custompress but whenever I get the URL to show right, as in this: movies_genre/action-movies the page directs to a 404 error page.

Please help.