Please check Url Manager Rules in main config file and make sure a url which you are trying to access in exist or not.
And you are getting this 404 on index page app then might be you are doing something wrong here regarding your application setup.
if you are trying to develop this first app on your local machine and local server then please check settings for your apache.
And i will recommend you to follow this URLto create your first app with yii. Since you dont need to play with .htaccess in the first stage for app.if you are creating yii app for the first time.you created app by the help of above given link will definitely work without any 404 error.
DonVito: We’re having users who managed to let Yii-based apps run on minimal webservers like nginx and lighttpd with pretty URLs enabled. YTS shouldn’t really pose a problem. Can you forward all 404’s to your index.php? You should be practicaly done, then.