If you are running WAMP server for your Drupal 6.x installation then, the default configuration for the WAMP server doesn't not support the "Clean URLs". To enable the Clean URLs you need to change a setting in httpd.conf file. Go to wamp\bin\apache\apache2.2.8\conf folder and open the httpd.conf file with wordpad/notepad. Find the line #LoadModulerewrite_module modules/mod_rewrite.so in this file (in notepad press CTRL+F and write mod_rewrite and the line will appear. Omit the starting # (comment symbol) and save the file.
Now restart all the WAMP server services and go to Clean URLs option under Administrator--> Site Configuration in your Drupal installation. Click the Enable radio button and save configuration.