The above user seems to be on Plasma. In which case it's buried in the settings somewhere (KDE in a nutshell lol). I believe it's somewhere in the themes section, IIRC.

On Gnome you can access the same functionality by right clicking the header bar. There's also an option to have a window always move to the workspace you're on, which is pretty cool.

E: idk who's downvoting me relaying features that someone asked about, but that's hilarious. How did that offend you?