I have this old bug in a fresh installation of WordPress 2.8-RC1:
http://wordpress.org/support/topic/189058?replies=1
Namely, the permalinks settings include the URL to my website with the suffix "/index.php" followed by the kind of permalinks you want. I tried making a custom permalink structure of just "/%year%/%monthnum%/%postname%/" but then pages, like "About", would not appear -- they only appeared if "/index.php/%year%/%monthnum%/%postname%/" was used.
~Andrew~