Messier is not.. you have to get it separately:
http://www.stargazing.net/astropc/external.html
Then after installation, you have to enable it.
Click Preferences - Catalogs and preferences - Size
There are some ticks to click ("show this catalogs").. also in "show" column you have to type "1" "2" etc.. depend on how many calalogs you want enabled. In "file" column you have to navigate to where Messier catalogue is (it will be in cat\externes\messier\marathon.txt)
Basically, you should download all catalogues, including search indexes. It is a lot of files, but it is worth it.