Brandon,
It adds the Itemid because most SEF extensions need that to determine the properly SEF version of the URL to use. The Itemid is the menu item's database ID, which is what all modules trigger off to know what pages to appear on. It's a critical aspect of Joomla, and I"m not sure why you're seeing what you're seeing.
A couple of questions:
1) What type of menu item are you using? If it's an "External URL" or "Alias" type, I could see how this was happening. If that's the case, is there any way you can use the original menu item or a component menu item to link to?
2) If not, are you using a 3rd party SEF extension? Core Joomla SEF shouldn't be a problem, but sometimes other SEF extensions can cause conflicts. If so, I'm sure we can help you get around the problem.
Thanks,
Alex