[Copying Jace's comment into a full answer]
Auditing must first be enabled from general setup. From Linux Kernel in a Nutshell:
SELinux requires that the networking
option be enabled. See the section
called “Networking” to enable this.
SELinux also requires that audit be
enabled in the kernel configuration.
To do this:
General setup
[*] Auditing support
Also, the networking security option must be
enabled:
Security options
[*] Enable different security models
[*] Socket and Networking Security Hooks
Now it is possible to
select the SELinux option:
Security options
[*] Enable different security models
[*] NSA SELinux Support
There are also a number of individual SELinux
options that you might wish to enable.
Please see the help for the individual
different items for more descriptions
on what they do in.
Security options
[*] Enable different security models
[*] NSA SELinux Support
[ ] NSA SELinux boot parameter
[ ] NSA SELinux runtime disable
[*] NSA SELinux Development Support
[*] NSA SELinux AVC Statistics
(1) NSA SELinux checkreqprot default value
1*** Humour *** The "great penguin" needs an occasional vacation too! ;D – Randolf Richardson – 2011-03-06T17:41:26.777
answer is that it needs auditing enabled first in generals setup. – Jace Hall – 2011-03-07T00:51:30.427