There's a hardware-based and software-based DEP. Reference.
Hardware-based DEP requires your CPU support the XD or NX bit. If the CPU attempts to execute code from a page where that bit is set, the CPU will throw a hardware exception and nothing will be executed.
Software-based DEP - that reference provides the following info:
An additional set of Data Execution Prevention security checks have been added to Windows XP SP2. These checks, known as software-enforced DEP, are designed to block malicious code that takes advantage of exception-handling mechanisms in Windows.
and
Software-enforced DEP runs on any processor that can run Windows XP SP2. By default, software-enforced DEP helps protect only limited system binaries, regardless of the hardware-enforced DEP capabilities of the processor.
This can be enabled and used regardless of CPU NX/XD support.
Not sure how the software DEP works but it's probably something like a stack canary used by certain system binaries - reference.
DEP is listed as something the CPU must support in Windows 2016 Server.
Windows 2016 will not run on a CPU that doesn't have hardware NX/XD support. Most if not all CPUs since 2000 (Pentium 4+) have this support, and most certainly any server-class CPU in this decade has it. On any relatively modern system you should not have to worry about this.