I only have CS5 presently but I presume it's the same?
Preferences -> Performance -> History & Cache -> History States.
You can either use the scroller or type in a number of history states. If your computer does not have a lot of RAM or hard disk space then if this number is too high you may find Photoshop runs out of memory.

I'm on MacOSX, so in Windows the preferences might instead be called Settings.