The OS is preisnatalled, but all new MacBook Pros with original OS version of Snow Leopard or below come with install DVD (pictured in another answer). Note that that's not the case for Lion.
If you didn't buy the machine new or if you have lost the install DVD you could try to find someone who has Macbook Pro from the same year and with the same screen size and use that install DVD. Some later years may also work, but it is not guaranteed.
If you want to and could use Lion (see requirements) instead of Snow Leopard, you could install Lion on top of SL via the App Store.app (that costs $29), burn install DVD or make install USB in the process and then do a clean install of Lion. Alternatively, you can buy Lion USB drive from Apple (more expensive) and do clean install from there.
Edit: it appears that you may but Snow Leopard install DVD
Whatever install/reinstall you do, remember to back up your data prior to that.