look at the location of the theme files and make sure it matches your site url. On the theme's header file (normally), there is a section that defines the css of the theme, something like
<link rel="stylesheet" href="<?php bloginfo('stylesheet_url'); ?>" type="text/css" media="screen" />
That is being defined by what you set in your settings. The "Site Address" field will be the directory your bloginfo is being set as (if I'm not mistaken...it's either that or the other one.).
Make sure your theme settings are correct. Go to your site and choose "View Source". Find out what the address is for the css and see if that's correct. If it's not, move the files to make it correct.