There is no disc. Reinstallation is all done via Internet Recovery: OS X Lion- About Lion Recovery
Everything begins by booting to the Recovery HD partition on your hard drive. This is an invisible partition from which you can boot the computer and initiate repairs and reinstallation.
Boot to the Recovery HD:
Restart the computer and after the chime press and hold down the COMMAND and R keys until the menu screen appears. Alternatively, restart the computer and after the chime press and hold down the OPTION key until the boot manager screen appears. Select the Recovery HD and click on the downward pointing arrow button.
You can also create your own USB flash drive installer with the utility, Lion DiskMaker 1.7. You can also use Lion Recovery Disk Assistant 1.0 to create a USB flash drive copy of Recovery HD to use in case the one on your hard drive becomes corrupted.
Unlike windows laptops, where you can create restore CD/DVD when you buy them because they have a partition to restore it.
Macbooks are the same way but you don't have the option to create restore CD/DVD since it's already in a recovery partition.
Have a look at what Kappy has included in his response to you and make sure you either print it or remember it.
When the time comes you need to reinstall, then you know what to do and how to do it.
Enjoy your new Macbook.