You don't need to. It engages automatically when it detects the wheels spinning.
You can lock it if you like. It isn't very obvious. It's that big knob under the heater controls that says '4WD LOCK' (in capitals, just in case it isn't clear enough)
It's just above the lights that show SNOW, SAND (and dare I say it) MUD
I think that should give the game away.
You DO have 4WD don't you?