Index.php directory missing

Hi,
I’ve just installed WordPress and am having some troubles. Some of the links on the right hand side point to a url that contains index.php/ as a directory. For example, the links in the Pages section and in the Categories section on the right sidebar. I don’t have an index.php folder and when I look at the downloaded files, there is no index.php folder. It would seem quite odd to name a directory folder like that anyway.

Yet, the links point to a url containing index.php/ as a folder.

Any thoughts about why this is happening?

Here is the link to my new blog site: http://www.firehorseweb.com/blog/

Gail.