Devel and XHProf configuration!
You need to set up a virtual host on your server and put the xhprof front-end HTML files on it (the ones that come with the the xhprof download). Give the host an address (e.g. http://xhprof.localhost/xhprof_html as suggested), then give that path to Devel. 

Then you should get the link at the bottom of each page to check the profiling information for that request.