However, I continue to do something wrong because I cannot seem to make it work. I am using NetworkSolutions as my FTP.
1) I change my site url in WP:settings>general
2) I log into FTP File manager and copy index.php into root folder
3) I edit new index.php as : ./blog/...
4) I save work
4) I update permalinks page in WP
After all of these steps, my website presents the 404 error and I can only access my site by using the /blog/ extension to my url.