This is a common issue with wordpress it has to deal with your .htaccess file.
If your website does not have one you must manually create one using notepad. Just simply choose "save as" and call it .htaccess.
For wordpress it must have the following information in it.
# BEGIN WordPress
<IfModule mod_rewrite.c>
RewriteEngine On
RewriteBase /
RewriteCond %{REQUEST_FILENAME} !-f
RewriteCond %{REQUEST_FILENAME} !-d
RewriteRule . /index.php [L]
</IfModule>
# END WordPress
