Screening comments is only available in "Disqus Classic", not Disquis 2012, as noted in this help article. There is more information on Disquis 2012 and how to turn it on and off at this FAQ.
To enable screening, the instructions in the first link suggest:
Screening options can be found at the Disqus admin > Settings >
Moderators page. You can choose to pre-screen either all comments or
comments made by guest profiles. You may also choose to screen
comments which contain links as a way to control spammers and against
posting inappropriate links.