Downey and Hirschfeldt seem to assume that any computably enumerable set of sequences can be generated from some prefix-free set (in the sense that the set of all extensions of the strings in the prefix-free set is equal to the first set). I don't understand why this would be so.
Specifically, in a proof that a sequence is Martin-Löf random iff is there is no c.e. martingale on the sequence that produces infinite profit, on page 236, D&H assume that for each class $U_n$ that makes up a Martin-Löf test, there is a "prefix-free generator" $R_n$ (which I take to be what I described above, cf. p. 4). D&H's definition of Martin-Löf test is on 231: the sequence of $U_n$ is merely required to be uniformly c.e. s.t. $\mu(U_n)\leq 2^{-n}$.
I don't understand why such a generator must always exist.
For example, let $U_n$ be$\{00000\ldots\}$ for all $n$. Then each $U_n$ is null with respect to the uniform measure, so this is a Martin-Löf test. However, any finite sequence of zeros that would include a sequence of all zeros as an extension, would also have extensions such as $01\ldots$, $001\ldots$, etc., which are not in $U_n$. So there is no generator of $U_n$.
Clearly I am misunderstanding something (or have not noticed some constraint on Martin-Löf tests?).