Intel has a new overclocking tool to help owners of certain 9th generation Core CPUs, some of the best CPUs for gaming, gain some added performance, without having to muck around in the BIOS. It's called "Intel Performance Maximizer" and it's available now.

Does overclocking happen automatically?

Correct. Just because you have a processor that can overclock, doesn't mean it will on its own. It simply gives you the option to. It will, however, turbo to 3.9GHz under load, but every processor has some sort of turbo functionality which will happen automatically.

How do I know if my CPU is overclocked?

Hold down the DEL key while booting and go into the BIOS screen. It will probably have a CPU overclocking option in there. Click on that. If it says CPU multiplyer is set at 39, it's overclocked to 3.9GHz.