Use SHIFT+7 to bring up the CDU. Then press the RAD NAV button. Look at the entry level with LSK 4L (Line Select Key 4 Left), and you should see something like 110.10/335PARK. The 110.10/335 is the ILS frequency and RWY heading. This should activate when you are between 20 and 10 nm from the airport, but sometimes it doesn't. All you need to do is click on LSK 4L (copy the ILS/HDG into the scratchpad), then click it a second time to "paste" the ILS/HDG back into there. It is then appears like this: 110.10/335M, which means it is ready to capture the ILS/HDG.

I hope this helps.