If this error occurs, you should make sure that your .htaccess file in your WordPress's main directory has the following rules:

RewriteEngine On
RewriteCond %{REQUEST_FILENAME} !-f
RewriteCond %{REQUEST_FILENAME} !-d
RewriteRule ^(.+)$ index.php/$1

If you do not have .htaccess file at all, you should create one containing the above rules, which will enable the use of SEF on the webserver.