Yes it does. It probably had Tiger 10.4.3 installed on it.
Call Apple Customer Support 1-800-767-2775, provide the Serial Number and specifications of the Mac, and for a reasonable fee, they will supply a replacement set of system discs (if available).
The discs will be for the original version of the OS that was pre-installed when the Mac was manufactured.
There were numerous MacBook Pros released in 2006. http://www.everymac.com/systems/apple/macbook_pro/index-macbookpro.html
The earliest came with OS 10.4.5 installed, but the max is OS 10.6.x. The last came with OS 10.4.8 installed, but the max is OS 10.7.x.
If you are able to get the original install discs from Apple, you should probably upgrade to OS 10.6.x or 10.7.x.
Get 10.6 and 1 GB or more of RAM first. 10.7 or later does not support PowerPC applications. If you have any older PowerPC applications, you'll need to upgrade all the documents for those first before upgrading to 10.7 or later. For more on 10.6, see this tip: