Addon Domain Shows Primary Domain

I am running my wordpress in an add-on domain. I was having issues where the browser was showing the site as being located at http://www.primarydomain/addondomain.com. I read the discussions on this board and changed the URL location of the site in the GENERAL SETTINGS to point to the http://www.addondomain.com.

Everything works except the following. If you type http://www.addondomain.com into the browser the site loads properly and displays the correct URL. Navigating to other pages also displays the correct URL. However, once you navigate back to the home page through the menu on the website the URL shown is the http://www.primarydomain/addondomain.com. I don’t want guests to ever see the primary domain.

I should also note that I actually have all of the files loaded in a test folder (mydomain.com/addondomain.com/new) so the current site (mydomain.com/addondomain.com – non wordpress) stays active.

Any help would be appreciated greatly.