There are really two areas to look at for enabling Comment Moderation:

1. Under Admin > Weblog Management you specify whether comments for that weblog are moderated.

2. Under Admin > Member Groups there is a setting for each Member Group that determines whether or not that Group ignores moderation.  Superadmins ignore moderation, for instance, which means their comments are posted immediately.

Once moderation is enabled and you have received a comment that requires moderation you can look at the “home page” of your Control Panel (click the “Control Panel Home” link at the top).  You’ll see a link on the home page for “Comments Awaiting Moderation”.  Simply follow that link and you can open, delete, or edit any of the comments awaiting moderation.