What does "support" look like?

I am about to print a piece that has a 40mmx15mmX2mm overhang piece.
I am sure it will need support.
I have support checked in the config
I ran it thru Slic3r but I see no support in the model.

Is the support structure suppose to be visible in the sliced preview?

If it is, how do I get it there? - otherwise it is printing in open space.

I'm not sure what sliced preview means, but if you save the G-code and open in in anything that can show you the G-code, you should see the support.

E.g. if you print using pronterface, you can look at the G-code there. There are also websites that can show you how the G-code looks like. Google is your friend.

Cheers.