It shouldn't need any setup really. As long as you can login to normal Web Desk ok you should be able to point a mobile device to this and login to Mobile Web Desk. The error isn't one that I think has been reported before with Mobile Web Desk. I had a search around google and this error seems to be a more generic issue with .net and routing.
Can you expand more on how you setup Mobile Web Desk and whether you can login to the same site ok with usual non-mobile Web Desk?