open a raw file so that camera raw fires up. Then select the preferences dialog from the row of icons near the top left of the ACR window (not the main Ps preferences). The setting you want is then near the top.
You don't necessarily have to open a raw file in Adobe Camera Raw to modify preferences. An alternative, or I daresay the "proper" way, is to start Adobe Bridge and from the menu, click on Edit > Camera Raw Preferences. Then in the General section of the dialog box that appears, select "Save image settings in: Camera Raw Database."
