I think index.php is removed since I enabled URL Rwrite in the Global Configuration.
This is the part where you have to be very very careful. You have two choices. They're both OK choices, but you have to pick one:
#1 "I don't understand this mod_rewrite stuff and I'm not touching htaccess with a barge pole, so just tell me where to click" #2 "The out-of-the-box program doesn't do everything I want it to do, so I'll need to edit my htaccess file directly."
Once you've gone with #2 -- which you must have done, or you wouldn't be posting here -- you can no longer say "I clicked a button and that took care of it". You need to know exactly what happens when you click that button. Worst case: the program may have created a new htaccess file, using your current preference settings but overwriting anything that you added earlier on your own.
Have a look at your site's htaccess file. Not the working copy on your hard drive, but the real one that's on the live site. Does it say everything you expected it to say and nothing that you didn't expect?