The Apache htdocs directory in Mac OSX is by default located in /Library/Webserver/Documents. If you copied your Drupal files to this folder via the Finder, you will miss the .htaccess file with the mod_rewrite rules to allow clean urls because .htaccess is a hidden file that Finder does not see.

To remedy this, open the Terminal in your /Applications/Utilities folder and type the following (this example assumes you have a copy of Drupal 5.2 on your Desktop):

$ cd ~/Desktop/drupal-5.2/
$ cp .htaccess /Library/Webserver/Documents

Now go back and enable clean urls and you should be good to go.