EAX is Environmental Audio eXentions. They supposedly add atmosphere to a games and stuff...personally I think they sound a little silly.
In games if you go into the game setup into Audio settings there should be an option to enable/disable EAX (assuming the game supports it).
If for some odd reason you want a super environment (so all your windows sounds sound like they are coming from a cave, or a bathroom or something) you simply have to click on your sound blaster icon in the system tray (by the clock) and go to Environmental Audio and then there is a pull down box you can select one. You can even make your own custom reverb effects.
On the whole, I think super environments are pretty stupid...but that's my opinion, in games if it's used well it can sound kind of cool, but on the most part it nothing to get excited over.
Just don't get tricked into thinking that EAX is 3D positional audio because it isn't. Creative Labs owns Aureal now, so hopefully they will use A3D in their next cards (A3D is true positional 3D audio) but I doubt it....