I've developed whole this site in wordpress and my website url is much like 'http://www.domain.com' and today I've one blog link to this site and I wish to give url like 'http://www.domain.com/blog' how do i accomplish this with wordpress? I've developed whole site in wordpress itself.

I wish to keep one link say "http:/domain.com/blog" and I wish to display my posts there.

Please assist me.

this really is known as Permalink in WordPress. Read this to learn more.