The Enzyme Finance smart contracts are deployed to the Kovan testnet of Ethereum with some functionality limitations. You can set up an Enzyme vault on kovan by taking the following steps:

• Get yourself some Kovan eth here
• Set up a vault through the normal process here, making sure to set WETH as the denomination asset in the first step
• Wrap some of your Kovan eth here by connecting your wallet, entering an amount (less than your current kETH balance) in the deposit function, and clicking Write.
• Go back to your vault at kovan.enzyme.finance, and invest your kWETH

After those steps, you'll have a funded Kovan Vault.