The setting page gave me a raw ip address to use for the Facebook app, which rejected it.
My WordPress install is hosted on Bluehost, so it has a "hidden" address something like this : http://126.96.36.199~/mysite which I aim my domain name at.
If I then try to use my real domain name the Facebook rejects it when I go to authorize the link:
Given URL is not allowed by the Application configuration.: One or more of the given URLs is not allowed by the App's settings. It must match the Website URL or Canvas URL, or the domain must be a subdomain of one of the App's domains.