First, launch Windows Explorer: right-click on the start button, and choose "Open Windows Explorer".
Then, click on the Organize menu, and select "Folder and search options".
Windows 7 will open the Folder Options dialog: click on the "View" tab. (Note that these settings will apply to all folders in Windows Explorer, not just the folder that happens to be opened when you are configuring folder options.)
Scroll all the way to the bottom in the Advanced settings box.
The "Use check boxes to select items" checkbox