How to Create Folders Automatically

Hi Pros,
I´m new to wordpress and have just started my first blog.
My problem is, that I don´t get wordpress creating the virtual folders automatically. I always get a 404 error.

I searched the support forums and found a post with the same question (http://ww.wp.xz.cn/support/topic/5599?replies=3), but unfortunally the help-link does not work. So…I need your help. 🙂
Hope you can tell me what to do.

Thanks a lot!
Fashion