You have to turn them on with each individual preset. On the preset that you want the expression pedals to work on, hold the "down" button until the menu pops up, and hit "up" until you get to the program change/pedal configurations (I think when you hold the down button, the first screen is for the switching relays, and the next is the pedals/program changes).
That should take you to the on/off options. Turn the expression pedals on by pushing the "EXP A" or "EXP B" buttons (6 and 7, or 7 and 8 I think). Then you need to set them for the min and max values. Push the "EXP A" button until if flashes and hit "up" Then you use the pedal to set the values. When you're done, hold the "down" button until you get back to the normal condition. You use pedal A to set the values for both A and B.