Well there's a little thing missing in the url when you click on the 2011 tag:
Yup, missing the ":" before //. Also, the category should be 2011 and not 2012.
If you created the tabs with the "Custom Links", don't. Your menu items are categories, so you should simply just choose from the Categories area instead. If you don't see it there, scroll all the way up and go to the Screen Options tab at the top right of the Menus page (just under your name in the user topbar) and put a check on it.
To make the tabs/menu items follow these steps: go on your dashboard menu -> Appearance -> Menus and select your custom menu with the tabs. Delete the tabs you have if you created them with Custom Links. Next, go to the Categories area -> "View All", select the categories "2012" and "2011", and "Add to Menu". Save menu, make sure the menu is activated on "Theme Locations", and that should be it.
Besides posts under categories, you can also add individual posts, posts under your tags, and posts under a certain format to your custom menu. Just check what you want on the Screen Options, and the respective areas for you to choose from should appear.