Actually it's not just "a little check box", Scizor.

If it doesn't loop, load the file up in your favorite tracking software, e.g. ModPlug Tracker. Go to the last pattern, the last row and input the loop-command at any empty effect-column.
If you don't know what the command is and you're using ModPlug Tracker, just double click on the most right column of a channel. A box should popup from which you can select the "Jump to position"-command (loop) and then use the slider to indicate to which position the song must loop.

Don't forget to save afterwards!