Nice. And that is how the link should be structured.
Now login to your hosting account and look for a file that can be named index.html or with similar extensions other than index.php. Delete the html file and see if it helps.
Review: http://codex.wordpress.org/Giving_WordPress_Its_Own_Directory
Copy (NOT MOVE!) the index.php and .htaccess files from the WordPress directory into the root directory of your site (Blog address). The .htaccess file is invisible, so you may have to set your FTP client to show hidden files. If you are not using pretty permalinks, then you may not have a .htaccess file.