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Since the launch of OS X Lion, Macs come with OS X Recovery > http://support.apple.com/kb/HT4718 It allows you to reinstall OS X and do other tasks.
To reinstall OS X, hold Command and R keys while your computer is starting. Also, open App Store > Purchases, and check that Mountain Lion is there. If it's there, you can download it and create a DVD or USB drive with the Mountain Lion installer using Lion Diskmaker > http://liondiskmaker.com Note that OS X Recovery downloads OS X from the App Store each time you have to reinstall Mac OS X
There is no recovery DVD. Everything is done via the Recovery HD, an invisible partition on the hard drive, or by Internet Recovery:
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.
The Recovery HD can be used to perform disk repairs using Disk Utility. It is also used if you wish to make a clone of your hard drive. Additionally, you can re-install OS X or you can erase the OS X volume in order to re-install Mountain Lion from scratch.
You can use it to restore from a Time Machine backup, reset a lost admin password, and repair permissions of your Home folder.
The suggestion from Niel only creates a copy of your Recovery HD on another hard drive or USB flash drive for use if the Recovery HD on your computer's drive is corrupted or you need to replace the hard drive.
It is also possible to create a bootable USB flash drive to fully install a version of OS X, but there is a slightly compllicated part needed to capture a copy of Mountain Lion for your model. If you are interested I would be happy to provide those instructions.