Of course by default the permalink structure is blank when you install WP, now it is:
Structure: /%year%/%monthnum%/%day%/%postname%/
When I first did this, I only changed .htaccess to add "RewriteEngine On". But later I noticed that right below in the same admin page of WP it had a whole bunch of stuff that it told me I needed to add, which I did. I added the following:
>RewriteEngine On
RewriteBase /blog/
RewriteCond %{REQUEST_FILENAME} -f [OR]
RewriteCond %{REQUEST_FILENAME} -d
RewriteRule ^.*$ - [S=35]
RewriteRule ^feed/(feed|rdf|rss|rss2|atom)/?$ /blog/index.php?&feed=$1 [QSA,L]
RewriteRule ^(feed|rdf|rss|rss2|atom)/?$ /blog/index.php?&feed=$1 [QSA,L]
RewriteRule ^page/?([0-9]{1,})/?$ /blog/index.php?&paged=$1 [QSA,L]
RewriteRule ^comments/feed/(feed|rdf|rss|rss2|atom)/?$ /blog/index.php?&feed=$1&withcomments=1 [QSA,L]
RewriteRule ^comments/(feed|rdf|rss|rss2|atom)/?$ /blog/index.php?&feed=$1&withcomments=1 [QSA,L]
RewriteRule ^comments/page/?([0-9]{1,})/?$ /blog/index.php?&paged=$1 [QSA,L]
RewriteRule ^search/(.+)/feed/(feed|rdf|rss|rss2|atom)/?$ /blog/index.php?s=$1&feed=$2 [QSA,L]
RewriteRule ^search/(.+)/(feed|rdf|rss|rss2|atom)/?$ /blog/index.php?s=$1&feed=$2 [QSA,L]
RewriteRule ^search/(.+)/page/?([0-9]{1,})/?$ /blog/index.php?s=$1&paged=$2 [QSA,L]
RewriteRule ^search/(.+)/?$ /blog/index.php?s=$1 [QSA,L]
RewriteRule ^category/(.+)/feed/(feed|rdf|rss|rss2|atom)/?$ /blog/index.php?category_name=$1&feed=$2 [QSA,L]
RewriteRule ^category/(.+)/(feed|rdf|rss|rss2|atom)/?$ /blog/index.php?category_name=$1&feed=$2 [QSA,L]
RewriteRule ^category/(.+)/page/?([0-9]{1,})/?$ /blog/index.php?category_name=$1&paged=$2 [QSA,L]
RewriteRule ^category/(.+)/?$ /blog/index.php?category_name=$1 [QSA,L]
RewriteRule ^author/([^/]+)/feed/(feed|rdf|rss|rss2|atom)/?$ /blog/index.php?author_name=$1&feed=$2 [QSA,L]
RewriteRule ^author/([^/]+)/(feed|rdf|rss|rss2|atom)/?$ /blog/index.php?author_name=$1&feed=$2 [QSA,L]
RewriteRule ^author/([^/]+)/page/?([0-9]{1,})/?$ /blog/index.php?author_name=$1&paged=$2 [QSA,L]
RewriteRule ^author/([^/]+)/?$ /blog/index.php?author_name=$1 [QSA,L]
RewriteRule ^([0-9]{4})/feed/(feed|rdf|rss|rss2|atom)/?$ /blog/index.php?year=$1&feed=$2 [QSA,L]
RewriteRule ^([0-9]{4})/(feed|rdf|rss|rss2|atom)/?$ /blog/index.php?year=$1&feed=$2 [QSA,L]
RewriteRule ^([0-9]{4})/page/?([0-9]{1,})/?$ /blog/index.php?year=$1&paged=$2 [QSA,L]
RewriteRule ^([0-9]{4})/?$ /blog/index.php?year=$1 [QSA,L]
RewriteRule ^([0-9]{4})/([0-9]{1,2})/feed/(feed|rdf|rss|rss2|atom)/?$ /blog/index.php?year=$1&monthnum=$2&feed=$3 [QSA,L]
RewriteRule ^([0-9]{4})/([0-9]{1,2})/(feed|rdf|rss|rss2|atom)/?$ /blog/index.php?year=$1&monthnum=$2&feed=$3 [QSA,L]
RewriteRule ^([0-9]{4})/([0-9]{1,2})/page/?([0-9]{1,})/?$ /blog/index.php?year=$1&monthnum=$2&paged=$3 [QSA,L]
RewriteRule ^([0-9]{4})/([0-9]{1,2})/?$ /blog/index.php?year=$1&monthnum=$2 [QSA,L]
RewriteRule ^([0-9]{4})/([0-9]{1,2})/([0-9]{1,2})/feed/(feed|rdf|rss|rss2|atom)/?$ /blog/index.php?year=$1&monthnum=$2&day=$3&feed=$4 [QSA,L]
RewriteRule ^([0-9]{4})/([0-9]{1,2})/([0-9]{1,2})/(feed|rdf|rss|rss2|atom)/?$ /blog/index.php?year=$1&monthnum=$2&day=$3&feed=$4 [QSA,L]
RewriteRule ^([0-9]{4})/([0-9]{1,2})/([0-9]{1,2})/page/?([0-9]{1,})/?$ /blog/index.php?year=$1&monthnum=$2&day=$3&paged=$4 [QSA,L]
RewriteRule ^([0-9]{4})/([0-9]{1,2})/([0-9]{1,2})/?$ /blog/index.php?year=$1&monthnum=$2&day=$3 [QSA,L]
RewriteRule ^([0-9]{4})/([0-9]{1,2})/([0-9]{1,2})/([^/]+)/feed/(feed|rdf|rss|rss2|atom)/?$ /blog/index.php?year=$1&monthnum=$2&day=$3&name=$4&feed=$5 [QSA,L]
RewriteRule ^([0-9]{4})/([0-9]{1,2})/([0-9]{1,2})/([^/]+)/(feed|rdf|rss|rss2|atom)/?$ /blog/index.php?year=$1&monthnum=$2&day=$3&name=$4&feed=$5 [QSA,L]
RewriteRule ^([0-9]{4})/([0-9]{1,2})/([0-9]{1,2})/([^/]+)/page/?([0-9]{1,})/?$ /blog/index.php?year=$1&monthnum=$2&day=$3&name=$4&paged=$5 [QSA,L]
RewriteRule ^([0-9]{4})/([0-9]{1,2})/([0-9]{1,2})/([^/]+)(/[0-9]+)?/?$ /blog/index.php?year=$1&monthnum=$2&day=$3&name=$4&page=$5 [QSA,L]
RewriteRule ^([0-9]{4})/([0-9]{1,2})/([0-9]{1,2})/([^/]+)/trackback/?$ /blog/index.php?year=$1&monthnum=$2&day=$3&name=$4&tb=1 [QSA,L]
But now it still doesn't work. I also updated my wp-content directory and index.php as they suggested here: http://codex.wordpress.org/Make_a_Directory_Writable
I have also noticed that none of the directories that should be there after "blog", e.g "http://www.cpadventures.com/blog/2005/09/" do not exist on my server (using ftp I do not see them).
Thanks