returning autogenerated keys

I am trying to use PostgreSQL and while trying to do a prototype, I am
getting an error.
org.postgresql.util.PSQLException: Returning autogenerated keys is not
supported.
at
org.postgresql.jdbc3.AbstractJdbc3Statement.executeUpdate(AbstractJdbc3Statement.java:138)

In the TODO list (INSERT section), it is mentioned that "This is useful
for returning the auto-generated key for an INSERT. One complication is
how to handle rules that run as part of the insert."

Does it mean PostgreSQL does not support returning autogenerated keys? I
am using 803 version.

Thanks In Advance

Srinivas Tata