According to Sun's official
JMF site, it says:
The JavaTM Media Framework API (JMF) enables audio, video and other time-based media to be added to Java applications and applets. This optional package, which can capture, playback, stream and transcode multiple media formats, extends the multimedia capabilities on the J2SE(tm) platform, and gives multimedia developers a powerful toolkit to develop scalable, cross-platform technology.
So, no -- it's not built into J2SDK, you have to download it seperatley.