Most websites running WordPress employ permalinks. This is a great way to set up some nicer URLs, much prettier than the default ?id=123 setup.

A common issue with custom permalinks can be a trailing slash missing from the url:

http://www.yoursite.com/blog instead of http://www.yoursite.com/blog/

Not the end of the world but if you are a stickler it can be annoying. Have a look at your custom permalinks and make sure that it has a trailing slash:

/%postname%/ instead of /%postname%

This is a really common error and hopefully this helps you out with your WordPress website.