Build your server with the mod_include module. This is normally compiled in by default.
Make sure your server configuration files have an Options directive which permits Includes.
Make sure that the directory where you want the SSI documents to live is covered by the "server-parsed" content handler, either explicitly or in some ancestral location. That can be done with the following AddHandler directive:
AddHandler server-parsed .shtml
This indicates that all files ending in ".shtml" in that location (or its descendants) should be parsed. Note that using ".html" will cause all normal HTML files to be parsed, which may put an inordinate load on your server.