Looks like you set it up when you create the graphics context:
http://www.opentk.com/doc/graphics/graphicscontext
Close to the top of that document it gives the following example:
// Creates a 3.0-compatible GraphicsContext with 32bpp color, 24bpp depth
// 8bpp stencil and 4x anti-aliasing.
GLControl control = new GLControl(new GraphicsMode(32, 24, 8, 4), 3, 0);
This is typical -- OpenGL basically punts this sort of thing to the OS-specific context creation task... So if you weren't using OpenTK for example you'd have to set this up with wgl and the windows api.