A file called .htaccess is usually in your root wordpress folder, whether you know it or not. If you get that message, it means that you manually need to change it.
But that’s a pain in the ass.
Here’s the easier way to do it, Falke. Assuming you are the person with ftp access and control for your site, open up your root folder and look for .htaccess. Don’t see it? It might be a view problem. This varies from ftp client to ftp client. Try to change the view to see it. If you can see it, skip the rest of this paragraph. Don’t have one? No problem. You can create one. Open a text document and save as x.htaccess, making sure to save as “all files” and not .txt. Okay. Upload that badboy to your root wordpress folder. Then rename it to .htaccess
Change the properties to allow the modification of that file. In most ftp programs, you can right click the file and click properties. This will allow you to “chmod” the file, which really means changing the properties, more or less.
You want the “chmod” properties to be 666. Then, when you update the permalinks, all is done for you, with no need to change this on the back end.
For more on this, the codex has info on permissions, and specifically the permissions of .htaccss.
Here: Linko
Hope this helps.