Proper format for WP URIs?

Okay, I’ve got WP 1.2 up and running (after a fashion), but I’m having trouble with the WordPress/Blog URIs on the Options tab.
WP is running in a subdirectory called ‘blog’.
If I put in http://path-to-my-site/blog/index.php for the WP URI, the whole WP craters (no css style, and general ugliness). If I *don’t* put the /index.php on the end, the page won’t load unless I type it in on the address bar. Also, when I login, I get a directory listing of the wp-admin directory (I can click on the index.php and the admin pages comes up), and when I logoff, I go back to the directory listing.
Any help/suggestions?