Buddypress requires pretty permalinks to function properly. If you have set them up already try to go to the permalinks admin page and resave them and see if that helps.
If your host won’t let wordpress write to an .htaccess file, that page will also show you what should be in it.
http://codex.buddypress.org/troubleshooting/navigation-links-return-404-errors/
http://codex.buddypress.org/getting-started/before-installing/