I found out that WP will certainly do the permalinks, but it sure won’t work :). I had the permalinks, but would always get that it can’t find a page. Oh well, thanks. I’ll have to find some Unix hosting.
Well, I just tried it on my webpage and I was able to get a permalink without the ?= ugly links. I was able to get at least the /index.php/mypage.php. I may switch though. Main thing is for SEO. I don’t know how much the extra /index.php/ might hurt me, if at all.