I don't have a D800. But don't worry...I won't let that stop me from answering!
The quick & dirty answer is to set M mode or S mode and set the shutter speed directly, either by setting a specific speed or by selecting the next speed after the slowest speed. In this case, an "X" will appear, indicating that the shutter speed has been set according to Custom Setting e1:Flash Sync Speed.
Expanded Answer Most likely you're in A mode or P mode. When you are in A or P mode, and enable your flash, the slowest shutter speed that the camera will set for itself is defined by the Custom Setting e2:Flash Shutter Speed...which defaults to 1/60s. The e2 setting is a not explained well by Nikon. Basically, it defines the point where fill-flash turns into the key light for A and P modes.
When ambient light conditions (along with your aperture choice in A mode) require a shutter speed of 1/60s or faster, then ambient light will be exposed normally and the flash will act as a fill-flash. But when ambient light conditions require a shutter speed slower than 1/60s, then shutter remains at 1/60s, underexposing the ambient light. In this case, the flash acts as a key flash.
As you are in A or P mode, you cannot control shutter speed, and so your only alternative to force a faster shutter speed than what the ambient conditions call for, is to use M or S modes.