The best thing to do is read over the codex entry on them here: http://codex.wordpress.org/Using_Permalinks
They have some troubleshooting tips as well which I always recommend everyone try if they are having problems. Permalinks can be a bit of a pain sometimes and specifically if you are running on a windows sever by chance.
Because of the popularity of wordpress, typically you can also contact your actual hosting provider and explain the issues you are having and ask if they have any advice. There is a pretty good chance they have at least dealt with wordpress on their servers so they should be able to help.
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