Remove index.php from wordpress

Can you tell me how to remove the index.php from my wordpress install.

ex
http://parentgallery.org/index.php/about
should be
http://parentgallery.org/about

Every time I edit permalinks it adds /index.php back in after I press save.
/index.php/%post_id%/%postname%.html
should be
/%post_id%/%postname%.htm