Authentication is turned on by default for all MailChimp campaigns. Authentication helps prove you're a legitimate sender, that your emails aren't forged and helps avoid spam filters. When you use MailChimp's authentication, campaigns will pass SenderID, SPF, DomainKeys, and DKIM checks. Since it's turned on by default you don't need to do anything extra in order to enable the authentication of your emails.
If you've previously turned off authentication for your campaign and need to re-enable it before sending, this can be done on the Setup step of the Campaign Builder. Click on advanced options and make sure that the authenticate the campaign option is checked.
We have a handy Email Authentication Guide with more technical information. If you'd like to set up your own authentication, although not recommended, you can find more information here.