[Plugin: WP Super Cache] Apache mod mime and mod rewrite modules

your host – or you if it is your server- will need to have these on their server mod mime and mod rewrite modules

you need to enable fancy permalinks
admin – settings – permalinks

this is all assuming you are on a linux server

In WordPress 2.7.1 the section Permalins Settings does not have the option of enabling fancy permalinks. Does it mean they are enabled by default?

The default WordPress permalinks are “ugly.” Select another option like “day and name” or “month and name.” These are considered “fancy” or “pretty.”