What should I do?
Nothing inside sh404SEF. The symptoms you describe ("...only the home page works"...) means that you .htaccess (the one that came with Joomla) is not appropriate for your hosting company. You need to change it according to the requirements of your hosting. Best place to look for information is your hosting company themselves.
Once you have a proper .htaccess file, URL rewriting will work either with just Joomla SEF or with sh404SEF - the requirements are the same for both.
Please note that you are on public forum, where we can only reply to pre-sale questions.
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After logging in, please open a ticket describing as clearly as possible the problem you're experiencing.
Thanks and regards