You have to set them up in the BIOS. I don't know exactly, but probably windows as well. Make sure you have the right drivers too, especially if you are coming from a different generation GPU or over from ATi/AMD. Oh, and there are only a couple situations where SLI is really a good option.
1) Two of the very top tier cards on the market
3) Two cards that will beat the single top tier card (FOR A LESSER PRICE)
2) Expanding on an existing card for less than it would cost buying a single card that would equal or beat two of your current cards in SLI.
Remind me guys, if there are any more circumstances that are really actually good for SLI.
Buying two mediocre cards right from the start and SLIing them is pretty dumb. IE, SLIing two 8600s, you could very easly just have gone with a single card for the same price, probably with greater performance too... When you can, go single card...