First of all it does not run on all Windows Phones (hereafter they are called Microsoft Lumias). Only the following Lumia phones have the support of Lumia SensorCore which is needed for this feature:
- Lumia 630
- Lumia 635
- Lumia 730
- Lumia 735
- Lumia 830
- Lumia 930
- Lumia 1520
- Lumia Icon
according to http://web.developer.nokia.com/blogs/news/lumia-sensorcore-sdk-1.0-has-graduated-from-beta
You can get it from the Windows Store. Just search for Health and Fitness; download and enjoy.
You should see a screen like this when you activate the app. This one is on my Nokia Icon running Windows Phone 8.1 Preview.