Primary Links Menu Problem

I don't know if I am doing something wrong or if this is a bug. I can't get the Primary Links to show up in the header (how it looks on the demonstration site) with the black tabs. I have writing right above the logo that says "links primary-links", it is also in the footer. I have tried placing the Primary Links block in all regions and they just show up as an ordered list. I have attached a screenshot and you can check out the site at www.karstanandspirit.com . Thanks in advance for the help.