From microsoft.com:

"Beginning in Exchange 2007 Beta 2 and Outlook 2007 Beta 2, CDO 1.2.1 will no longer be provided as a part of the install of the product. As a result, there is functionality missing that many applications depend upon. CDO 1.2.1 is a package providing access to Outlook-compatible objects through a COM-based API."

You can download Collaboration Data Objects, version 1.2.1 from microsoft here.

Just as a note, CDO was included as an optional accessory starting with Outlook 2000-ish.