Marketplace asks me to install pretty permalinks. What is pretty permalinks and how do I install it.

After installing Marketplace, I recieved a warning information line. When I click on the "Enable now " button on the warning information line ie... "You must enable Pretty Permalinks to use MarketPress - Enable now » It takes me to the Permalinks page and just kind of leaves me hanging. What do I do from there? What should I click or type in? After clicking enable now, the warning line does not go away.