Site url won't work

I’ve got a website that i’d like to force using the basic url instead of the full hosting path url.

For example, the website is

http://www.example.com

but when you click a menu button to go to a subpage the url changes to the hosting server address:

example.hosting.com/wp/subpage/

I assumed that you could just change the SITE URL in the wordpress general settings. But once I change that to http://www.example.com the site will not load any page except for the toppage. Did I forget something? Should I edit some server file with the updated url or something?