Unlocking a core is a motherboard feature. On some motherboards the option to unlock the fourth core comes up during the boot sequence. On others you need to go into BIOS and enable the 4th core. Some motherboards do not support that feature at all and on those you are stuck with 3 cores
This video shows unlocking your processor on an Asus board. http://www.youtube.com/watch?v=U4C37im049s
After unlocking, monitor your temps real closely - I have a hard time controlling temps on an unlocked Athlon II and I have a custom water loop on it.
so what happens if its not unlock able?
does the whole cpu just break? or only the "extra core"
If it's not-unlockable by design (meaning that if extra cores are present, they cannot be unlocked at all) then there's nothing that you can do and the unlock will simply fail or error out. Some motherboards designed for the Phenom II X3 / Athlon II X3 can unlock the 4th core, or try to anyway. These same motherboards can also run some Bulldozer CPUs, which are not unlockable in any way.
If the cores are locked for marketing purposes (meaning that the extra cores are present and functional, but disabled in a matter that allows them to be unlocked), then the unlock may succeed.
If the cores are locked for yield purposes (meaning that part of the extra cores is faulty) then you can still attempt an unlock. The most common effect of unlocking a faulty core is that the computer will either hang during POST or crash after the operating system has enabled the other cores for handling workloads, it all depends on where the defects are and how severe they are. Sometimes the defects might not even show up until you start running Prime95, defects take all sorts of forms.
You should be able to recover back to three cores if it does not work right by resetting BIOS to defaults - I have not personally heard of any complete system fatalities from unlocking the fourth core although, as pinhedd pointed out if it is locked because of manufacturing defects, the unlock might not work or it may cause strange things to happen
What make and model motherboard do you have? As I pointed out, it is a motherboard feature and each varies in how and if it can unlock cores.
You will want to have (and run) coretemp and CPU-Z (they're both free) so you can monitor what is going on.
I just went through your motherboard manual and it appears that your motherboard does not support core unlocking.
Your manual is here http://www.msi.com/service/download/manual-10827.html
If that feature was available on your motherboard, it would be in BIOS, alas, it is not.
Sorry, looks like you are stuck with three core operation