Ok, so I clicked over to your site and If I understand your request, you want the link to your archive in the Top Menu to go to the individual archives (2013 etc.) just like what is available in the sidebar widget. The sidebar link goes right into the 2013 folder while the "Archives" Link at the top currently goes to a different page or post called Archives.
While there may be a few ways to accomplish this here is a quick and easy way.
go to your site view and pull up the site. Click on the link in the side bar that you want to go to. Once it has loaded copy the last part of the url to your clipboard. (http://horrorandmorepodcast.com/?m=201306.
go to your site Dashboard, select "Appearance/Menu". Here I am thinking that you created a page called "Archives" and added it to your saved menu. what we will want to do is delete this link from your saved Menu and create a Custom one. Once you have removed the old link, on the left is a box where you can set up the New, custom link. In the "URL" field, paste the information we copied (?m=201306). In the label field Type in "Archives or Archives 2013" which ever you prefer, then click the "Add to Menu" button. Now go back out to site view and click the link. It should take you to the same place as the link in the sidebar. If in the future, or in this case when 2014 rolls around, you will want to make your "Archive" link a drop down menu to accommodate for multiple years.
I hope this helped. If you have any questions or need additional help please feel free to email me!
Best of Luck!