Normally this feature will automatically be turned on unless u turn it off by yourself.but sometimes the camera doenst have pheripheral illuminaton data for the lens.when it doesnt have data,you can still turn it on,but the effect is like disabled.so you have to make sure the body have the data for the lens.
Just got myself a 15-85mm

btw... just a noob question... i'm currently owning 500D, does it mean if i get any lens that comes out later than 500D i have to go update my firmware to get the pheripheral illumination data for the lens?