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.