As title, SMF 2.0.2
The wiki suggests that it's under the Configuration > Features and Options menu, I see the first 4 options in the list.. but not the fifth "Profile Fields"
http://wiki.simplemachines.org/smf/Features_and_Options
1 General
2 Layout
3 Karma
4 Signatures
5 Profile Fields
Go to Configuration -> Core Features -> Custom Profile Fields, I believe, make sure that's on.