You’re wanting to use “Pretty Permalinks” and in order to do so you need to have some form of rewrite documentation present. The easiest and most common is a .htaccess file to hold the rewrite rules.
Do you have an .htaccess present for the site?
If you do not, you can reference the WordPress Codex here: http://codex.wordpress.org/Using_Permalinks#Where.27s_my_.htaccess_file.3F