And it is bad if you leave the menu of your site with links of the type: http://www.yourblog.com/category/games ?
Because it is the way easiest to solve this pagination problem. But if you don't want the users to see /category or also for the possibility of some site of searches to take the user to the address http://www.yourblog.com/games and then it doesn't work the pagination even, then will have of edit part more code assaults.
I try to solve in the easiest way, in the surprise, but if you want something professional, perhaps it is necessary or to edit the file.htaccess that is in your site (occult for the ftp program), but to use a ftp online of your server you will find, or still, to alter the own files php of the wordpress where has the pagination function.
And it can be that has some plugin that makes that, you can try to seek that in Internet, or to ask aid for somebody more specialized in this forum for showing you as doing to appear /category in the pagination, same when somebody accesses to URL without /category. Certainly it will be a simple alteration in some file that has functions (as of pagination) of the wordpress.