This is one way to do it.
Create a ".htaccess" file in the root of the WordPress installation.
Inside that file put this line of code:
Options All -Indexes
The idea is very simple. This instruction set will order Apache to not display list of files or directories, if there is no index file exists.
However, make sure not to touch anything else inside your ".htaccess" file.
Backup that file first. Even a small mistake will give your blog a "Server Error 500". If that ever happen, just restore the original ".htaccess" file.