Problem with permalinks

Hi all,

Quick question.. I have set up my own vps and installed a WordPress site on it. I only have a problem with the links. When I make a page, e.g. news, it always puts index.php before it. When I change the settings in the permalinks settings, the links to the page point to domain.com/news but I then get a 404.

Please help?

Thanks in advance! ??