I see, you must login from here - https://www.mail.live.com/
That doesn't help people who type hotmail.com or have bookmarks to Hotmail.
It really should be an option under Mail Options and there should be a notice at the top of the other Hotmail login pages letting users know that it is a feature.
Unfortunately, it still does not work for me. I am told that HTTPS is not supported by my account type.
If you access Hotmail using their web site you should enable the setting.