You must be on a windows host.
I had the same problem when I was on a windows server.
due to path info not enabled.
the note in the cp states:
Note: The PATH_INFO environmental variable must be available for this feature to function properly.
I'll bet that was your problem.
As I recall there is a way to enable it on windows but it has been said by microsoft that it causes a security risk.
And usually the host provider would have to enable it for you.
