Installation successfull / Problem with root

Hi team
I have a funny problem here and I have no idea how to solve it. Basically wordpess is successfully installed in a new directory:

http://www.mydomain.net/blog/

If I go to the blog page
http://www.mydomain.net/blog/index.php and click on a link I get an 404 error message which tells me, that /index.php couldn’t be found on this server.

This happens with every link – ergo – if I login or ex. when I click on a category.

In the admin panel the blog URL and website URL is set to http://www.mydomain.net/blog

Any help appreciated!