I don't believe there is a setting for this. It should be automatic as long as you are logged in. You might want to log out, clear your browser's cookies and then visit the forum and log in again. That might reset things for you.
Jan, that must be what I've done. I was TRYING to search for a forum to show someone (and eventually found it!), and that's how I somehow marked everything "read".
Guess I'll just have to check each topic to see where I left off.