If the link is referencing a file such as an HTML file, it must end with a file extension, as Jo Ann mentioned. Otherwise, the web server may interpret the malformed URL as a directory.
I don't use the Free DHTML Menu Builder so I can't offer advice as how to present the home page root item from displaying as a link but instead, only display the subcategories. Perhaps someone else who uses the application can offer a solution that works for you.
CoffeeCup... Yeah, they are the best!