Normally, that link should indeed return the buyer to the last page on your site that the buyer was on before they proceeded to checkout. Make sure you are using the standard E-junkie Cart buttons on your page, including at least one complete block of View Cart code from your Seller Admin on every page that has any number of Add to Carts.
If you are using the "PayPal Cart" version of button codes we offer, you should replace those with the standard E-junkie cart buttons, which will still offer buyers a PayPal checkout button in the E-junkie cart. Our "PayPal Cart" version of button codes no longer work correctly in some ways (including problems with the Continue Shopping and Cancel & Return links), due to changes at PayPal's end that we have been unable to work around, so those button codes will be removed from the next version of Seller Admin that we've been working on.
If this does not seem to resolve your concern, could you provide the URL of your page for us to have a look at and test for ourselves?