1. Set permalinks /category/postname/
2. Create post and upload image. Set for image: "Show - Thumbnail" and "Link to - page"
3. Open site and view your post. (it`s ok)
4. Try click on image. Oops! It`s 404 error! Wtf?
But if you permalinks look like http://yoursite.com/?p=123, then its ok, you will see your image, and no 404 error. Tell me please, why, and what i should do?