There's no "setup feature," per se. Rather you go to your master page (A-Master if you aren't already using master pages) by double-clicking on it in the Pages palette. You then draw little text boxes down in the corners and instead of typing a number, you simply go up to the Type menu, choose Insert Special Character, and choose Auto Page Number. It will insert a little A character which you can apply font choices, etc. to, and then on all your pages based on that master you'll have the page number sitting right there.