Make sure you have security certificate
Your Salesforce.com will need to have a security certificate in order to use SAML. If you don't already have a security certificate, follow these instructions to generate a self-signed certificate.
Select Security Controls > Identity Provider
Enable Identity Provider
You may be presented with this screen. If you are, click the Enable Identity Provider button.
Select your self-signed certificate
Then select your self-signed certificate (1) and click Save (2).