I want the facebook login to redirect me to the page where it required to login.
I'm not exactly sure what you mean here. Are you saying you want to go to a registration form, or are you saying you just want the standard redirection after the user logs in with their Facebook credentials? You should be able to set the redirection setting in the Configuration -> Login / Logout area of JFBConnect. Check the New User and Returning User Redirection settings there.
As for sh404SEF, JFBConnect shouldn't have any problems with that. We use sh404SEF on this site, and many others use it on theirs.
If none of the above helps, let us know what the URL of the page is that we can test on and what the URL of the page is that's throwing the 404 error.
Thanks,
Alex