I can't even figure out how to activate it. Must be missing something obvious because the instructions are no help. These are the instructions:
What do I need to do to take advantage of this additional layer of account security?
Update Steam
Steam should automatically update itself but you can force it to update by clicking "Check for Steam Client Updates"
Be sure your contact email address is verified with Steam.
You must verify your contact email address with Steam. You can check whether your email address is already verified by visiting Steam Account Settings. A verified address will be marked as "Verified." To verify your email address, follow these instructions.
Restart Steam
That's it! With Steam Guard enabled, you will be asked to enter the special access code sent to your email address each time you login to Steam from an unrecognized computer.
So I updated Steam, made sure my email address was validated, and restarted steam, which covers all the instructions - but I can't find any option to opt in to steam guard. It must be obvious since everyone else managed it despite the lame instructions.