Enabling InnoDB does not have anything to do with SQLyog, you have to set certain options in MySql's config file name either my.ini or my.cnf. In windows this file is located either in C: or in Win's own folder.
Following variables must be set (path must be changed, the rest are valid):
innodb_data_file_path = ibdata1:20M:autoextend:max:1000M
innodb_data_home_dir = path
innodb_log_group_home_dir =path
innodb_log_arch_dir =path
set-variable = innodb_mirrored_log_groups=1
set-variable = innodb_log_files_in_group=3
set-variable = innodb_log_file_size=5M
set-variable = innodb_log_buffer_size=2M
innodb_flush_log_at_trx_commit=1
innodb_log_archive=0
set-variable = innodb_buffer_pool_size=10M
set-variable = innodb_additional_mem_pool_size=2M
set-variable = innodb_file_io_threads=4
set-variable = innodb_lock_wait_timeout=50