Scripting support does not come as part of the standard Adobe Photoshop 7 package. However, it is a free download from the Adobe web site from these pages:
Installation advice is given on these pages, but it is straightforward. Clicking on the downloaded file will expand the contents to a new folder, which will include documentation and the installation file. Run the installation program to install scripting.
Although it is not mentioned in the documentation, there has been a report (thanks 
to Taz) that reboot is needed to enable scripting. I have not been able to verify this, but a reboot can't hurt. 
Adobe have already issued two maintenance releases for scripting support, so it is probably a good idea to check regularly for updates.
The current version of scripting support is 1.02a issued on 31 Jul '02.
Photoshop CS Scripting
31 Oct '03: I haven't received my upgrade yet, but it would seem that scripting has changed/improved in CS. The scripting plug-in is not available for download that I have found, but the documentation can be found here.