I think you need to understand what Friendly URLs are, spend a little time and Google the terms. There are consequences for changing this option down the line so you need to choose carefully. If there was one setting that everyone should use there would not be so many options.
For example @blackberry said "advanced". I use Mod-Rewrite method. Neither of these options might be right for your situation.
I would be glad to help you out later after you have done a bit of research.