Permalink without index.php????

Hello
I’m having some problem with the permalink because when I changed the url in the admin panel the pages got lost. And then I found a topic that say this:

add “/index.php” to the beginning of your custom permalink structure. For example:
/index.php/%postname%/
This work but a need the url be only the name of the page. Way is necessary the “index.php”??? Can I do it without it?????
Thanks in advance