No SD card is included.
Yes, D-Link offers D-ViewCam, a desktop software product that will enable you to record video directly to your desktop. You may want to look at one of the next generation cameras, such as the DCS-933L which has additional functionality and corrects issues with some of the older generation products. The DCS-933L does everything as the DCS-942L (and more), but does not have an SD Card slot.
There are also third party software products that can achieve similar results.