Custom Press and Permalinks

Hello guys.
I'm using Custom Press to create custom content types and custom taxonomies for my project, but I'm fighting with the permalinks for two days now, I'll give you more details about my problem:
I want to create a custom content type called "cp", Computer Programs in short. Also, I want to create a new taxonomy for this post type.
Now, the URL of any custom post look like this:
http://example.com/cp/post-name
I want it to be like this:
http://example.com/cp/category-name/post-name
for example: I have a post for a program called IDM, and I have a taxonomy called programs, it contains some categories like downloaders, browsers, and so on.
I want the post "idm" to be in the "downloaders" category:
http://example.com/cp/downloaders/idm
Thanks in advanced, and I'm ready for any clarifications if you want.