Default routing setup

I installed Codeigniter for the first time, read documentation.
According to docs, the URI consists of set of segments:

PHP Code:

http://example.com/index.php/[controller-class]/[controller-method]/[arguments] 


But that scheme doesn't work for me out of the box. I've created blank controller application/controllers/Blog.php, and tested url 

PHP Code:

http://example.com/index.php/blog 


The result was Error 404.
Here is the code of the controller:

PHP Code:

<?php
class Blog extends CI_Controller {

        public function index()
        {
                echo 'Hello World!';
        }
} 


base_url at application/config/config.php is set correctly to the server name.
So the problem is, that default controller at

PHP Code:

http://example.com/
and
http://example.com/index.php 


works, but everything else doesn't respond.