Help - linked up mysite but sitemaps and google show url errors

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I just finished building a website and carefully checked all the links within the site are correct.

When google spidered the site it is not picking up the url correctly nor is a sitemapmaker software that i ran.

my true url looks like this - mysite.com/dir/local-advice/finance/billings_financial.html

but the sitemap building tool and google are spidering the same url like this - mysite.com/finance/billings_financial.html - which is an incorrect path to the page.

So i have lots of The requested document was not found on this server.

Yet when i go to my site manually i can click through it no problem? what is going wrong here? any help would be greatly appreciated.