You specify this sort of thing in your weblog config screen, archiving tab, and enter what you want for each archive type in the field under the column "Archive File Template."
For instance, for the individual archive, you could have this code in that field:
CODE
<MTEntryCategory dirify="1">/<MTEntryTitle dirify="1">.html
What that would produce is a path that includes your category names as subfolders:
.../category/entrytitle.html
the dirify attribute is there to expunge html code and spaces from your category and entry names, so that if you have an entry called "The Real Story About Fuzz" filed in category "Wonderous Nothings" would look like...
.../wonderous_nothings/the_real_story_about_fuzz.html
Hope this helps!