To have a roaming profile, you must edit your account's properties (read: get a network admin to do it) and set the "User profile" path to a network location; for example, \\thatserver\profiles\ekaj
. The location must be a share or directory owned by your account.
Note that roaming profiles often cause more problems than they solve. For example, the profile is copied to the local machine on logon and copied back on logoff; this takes some time. If you log into two computers at once, you will still have independent desktops, and they will get merged only when you log out of both. (That is, if you're lucky. It's more likely that older changes will just get overwritten.)