Cant use Categories

I have created categories using the admin page and can post to a category but whenever I try and click on a category to only show posts from that category all I get is a 404 error. Am I supposed to manually set up the category directories? The came problem happens with the Archive link.

I am using Apache on top of XP.
My blog can be seen at nosome.dyndns.org so you can see what I mean.