RSS feed doesn’t get created

I’m new to WordPress and am very impressed with it so far. My blog was up and running in no time and this looks like it’s software with a future.
I have one problem though : my rss-feeds don’t get created.
When I click on the rss-links on the bottom of the index page I get a 404 and indeed, the /feed/rss2/ folder is not there.
Am I missing something really simple? Did I enter a wrong path somewhere? I can not seem to find any setting for rss in any of the screens.
Your help is appreciated.