Post Title Problems

Hello, when I click on an individual post in my blog, the page I am taken to has a URL address of http://myblog.com/?p=5 with the final number differing for each post’s page,

Essentially it reads http://myblog.com/?p=5 in the address bar when I would prefer that it read
http://myblog.com/the-name-of-my-post

how do I get the post name into the url address for that particular post?

It is very unhelpful when looking at shortstat for example as I can’t tell which posts are which as they’re all labeled ?p=5 and ?p=6 etc rather than having their names attached.

Any help appreciated.