My understanding is that it is not "built-in" but it is a free download. As Richard MacCutchan suggests a simple google search will direct you to several places where you can download the dll and supporting files. The same search should turn up several examples of how it can be used as well. Just in case
here is one link on implementating mscaptcha[
^]
If you are publishing your application remember to set "Copy Local" = True to make sure all of the files get included in the setup.