Yes, it is downloaded with the game. For some reason it doesn't seem to want to work though. I'm still a bit shady with how these things work, so I've just followed some steps on YouTube. (Yes, I DID go to the actual website. I wasn't led to a virus)

Apparently some "fmod.dll" file is missing from my computer, and SCP Containment Breach won't run at all.
I tried reinstalling already, to no avail.