I’m running Mathematica Student Edition 10.4, however it won’t undo more than one change. I’ve done a little research and it seems multiple undo was implemented in Mathematica 10, so it should be possible. Is there a setting somewhere I need to change?
No. There’s nothing special you need to do. It should just work.
That said, there are plenty of things that Multiple undo won’t undo. (More formally, multi-undo can’t really be all powerful. The state of the front-end is part of the environment.)
Are you sure it’s not working at all? Try creating multiple text cells and editing them. You should be able to undo those.