It sounds like when you clicked the 'apply changes' button that the changes to the web.config file weren't saved correctly.
A couple of questions:
a) are you using IIS 6 or IIS 7?
b) if you check your web.config file, does the '<httpModules><add name=UrlRewrite...' section have the type of 'ifinity.dnn.modules.urlmaster.urlrewrite', or something else?
-Bruce