Set it up at Tools -> Options -> AutoDJ / Now Playing
Turn it on at Play -> AutoDJ
However, iTunes Genius feature and MM's auto-DJ are quite different features. AutoDJ's main purpose is to keep tracks playing when the list of tracks that you selected runs out. By default MM will just add random tracks on to the end of the list. You can specify in the options to add tracks from only a certain playlist or filter, and there are also add-on scripts available that can more intelligently add tracks to auto-DJ. You may want to try Last.fm DJ
(2nd script listed at that link) as its probably the closest to Genius available in MM (based on the fact that it compares the tracks you are playing to similar tracks at last.fm and adds them to the list).
Note that while iTunes genius is meant to build playlists, auto-DJ is not - it really is meant to keep tracks playing.