When I click on a post it goes to an unknown page. Do I need to set up DNS?

To set up your blog and its blog domain, you don't need to add any DNS records. You simply need to enter, in your Blog Settings' Blog URL, the URL of the page where you entered the blog code (e.g. my.domain.com/blog) otherwise the links to the blog posts won't work correctly. Please go to the link below to see how to do this.