I found this article relating exact steps to enable archiving in Lotus Notes.
The article does not mention what version of Notes they are using and it is from 2003 so it is probably older than the version you are using but hopefully the steps should be close to the same.
There is a newer version from 2006 that I found that says that you would need to be in your inbox and click on Actions > Archive to get to these settings.
If the button to change the archive options is greyed out then it is probably set at the administrator level on the server. You would have to contact your network administrator to see if the option to archive could be turned on.