You're going to need to rename the htaccess-dist file that came with your installation (it's in the main installation directory) to .htaccess.
If you're using a Windows server, this is a bit of a problem. Windows doesn't like files starting in a period, but there's a workaround: open htaccess-dist in Notepad, click Save As, change the file type pulldown to all files (*.*), and type .htaccess in the filename box.
If you're using any other kind of server, all is well with the world. (If you're uncertain, try renaming the file: most servers run on Linux or a similar operating system.)
Read the INSTALL file that came with your installation for more information about installing Elgg.