Is it best to download WordPress into your root directory?

I’ve been trying to use dynamic includes and I’m having trouble with linking to other pages properly.

When I view one of my blog entries in a different page, the blog entry shows up in my wordpress folder, and when I try to access other parts of my site from then on, the links don’t work because they are “included” in the wordpress folder; however, they are NOT in the wordpress folder. Should I download my wordpress files into my root directory?

Any clarifications? Sorry, this issue has been bothering for a long time.
Any and all help is appreciated!