If you've paid for the expensive "Professional" Visual Studio .NET in 2002, you do indeed get version control. But it's Visual SourceSafe, which is garbage†. Fortunately, it's optional, so you probably just never switch it on (it's not default) and don't use any version control at all, so you're back to square one.
If you're just using the (cheaper) Microsoft Visual C++.NET for example - whose users I imagine would have believed they had an IDE - you don't get Visual SourceSafe. As we saw that's probably no problem since you don't want VSS anyway, but it does mean you do not, in fact, get version control out of the box, you're going to need to pay Microsoft $$$ (or, try using anybody else's offerings which are better and many of them are free...)
Either way, you're not getting that comparable experience.
† It's markedly worse than CVS, which itself is awful. Microsoft actually sold VSS for money rather than giving it away and so there was (until 2005) a team at Microsoft maintaining it. As I understand it the revision control of the Visual SourceSafe software itself was eventually... a Perforce repo (technically "Source Depot" Microsoft's internal-use licensed fork of Perforce's software). This is not an endorsement of your confidence in your own product.