I followed the instructions here: http://crazytoon.com/2007/07/23/mysql-changing-runtime-variables-with-out-restarting-mysql-server/ but that seems to only set the threshold
I think the problem is making sure that MySQL server has the rights to the file and can edit it.
If you can get it to have access to the file, then you can try setting:
SET GLOBAL slow_query_log = 1;
If not, you can always 'reload' the server after changing the configuration file. On linux its usually /etc/init.d/mysql reload