Go to File|Report Options. Turn on "Use Indexes Or Server For Speed". Also turn on "Perform Grouping On Server" if it's available. Click on OK. The Select Distinct Records option should now be available. (This may not work if you're using a file-based database like Access, Paradox, etc.)
I would also go to the Database tab under File|Options and turn on the same two items. When you do that, you'll be able to turn on Select Distinct for all new reports that you create. It also takes some of the processing load off of Crystal and puts it on the database server.
-Dell