Note: the mcelog project appears to be dead.
Machine Checked Exceptions (MCE) are not logged anywhere by default. The Linux kernel makes them visible in userspace through a character device.
mknod /dev/mcelog c 10 227
If you install the mcelog package and see this message, /dev/mcelog not active, it means that you did not create the device. In some systems this is done automatically by udev, but in other systems you must create it manually.