There's a couple of possibilities.
1) You just created your application and it hasn't fully propagated through all of Facebook's servers. Usually, this is (close to) instant, but sometimes it can take up to 24 hours for things to work without a hitch.
2) Your server isn't able to communicate with Facebook properly. This can be caused by your server not being able to look up the address of Facebook, your server not having the proper SSL certificates to validate that Facebook is 'authentic', a firewall is preventing communication, etc. If you wait out #1 (or are impatient to get going), you can try some of the suggestions in the thread below. They all require command line access to your server, so it may or may not be easy to check these things:
www.sourcecoast.com/forums/topic?id=1476&p=1#p5967
If the problem persists, definitely let us know, and if necessary, we can hop on your server to see if there's something out of whack.
Thanks,
Alex