trouble with archives

I set up wordpress, but I’m having trouble with the archives. The links list on the side bar show up like this:

blog/?m=200401

The problem is, the files are located at “blog/index.php?m=200401”. How do I get wordpress to archive the files as index.php?xyz? Also, I’m a little confused as to how the archiving works. I don’t see any actual pages being generated on my server. Does anyone know if wp generates pages for the archives and where those pages may be located?