While the solution that hurraken posted does indeed work, it creates other issues with urls. If your website is in the format http://www.example.com, then typing example.com will just give you a blank screen. I'm unsure of any other issues it can cause.
Eran's suggestion of turning off Magic Quotes is the best solution and it can be as simple as editing the php.ini in your root directory (or the directory the WordPress is installed, depends). If there is no php.ini, then just make one. Add the line:
magic_quotes_gpc = Off
And it should work. It depends on your host really. If you have Bluehost, then just place it in your public_html folder, problem solved.