Just specifying the finnish language in the document preamble is not enough. You actually need to install the hyphenation patterns as well.
Get fi8hyph.tex from http://tug.ctan.org/tex-archive/language/hyphenation/fihyph/
Or check that it already is in /apps/teTeX/std/share/texmf/tex/generic/hyphen/fi8hyph.tex
\usepackage[finnish]{babel}