Not as far as I know anyway... can't recall having to set anything up in AE. I run Windows 2000 Pro, so I normally use the Performance section of the TaskManager to watch both processors blast through those renders. Do you run Windows XP Pro or Windows 2000 Pro? I don't know if XP Pro has the equivalent to the TaskManager but maybe there's another way in there to determine if you're using all your grunt...? Also, I just installed the learning edition of Lightwave 3D which started blasting on both barrels with no set-up required.
Do you use any other program written for Dual Processors? Do both show up in the start-up Bios or in your komputer profile? What version of AE are you using?
PsiPhi