It should be easy.

Probably something to do with your depth setting.  Look to see if the
subfolders are going up in address folders, some sites do that on occassion. 


Depth of 1 equals only that address.  If you want to click once into the
website you have to set it to depth 2 and so on.  So make sure your depth
setting = # of clicks +1.

It might also be something else, perhaps William can answer that for you.  

Maybe you could give the address of the site you are trying?  That would
definitely help.