In most cases, it's just a matter of turning on the FURL System Setting and renaming ht.access to .htaccess in the MODX site root, making sure that you have this tag in the head section of all templates:
<base href="[[++site_url]]" />
If that doesn't do it, there's usually something odd (or wrong) with your host's server setup.
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PLEASE, PLEASE specify the version of MODX you are using.
MODX info for everyone:
http://bobsguides.com/modx.html