Do you mean coralline algae or decorative macro algae?
Either way, reeffanman is right that it will need to be introduced. For coralline algae, typically it arrives on rock and eventually spreads. You may also be able to scrape some off a different tank and introduce the flakes, which will sporulate and spread.
For macro algae, you'll probably need to purchase specimens and follow the individual care requirements. Most will need near reef quality lighting. Some are sensitive to high nutrient levels, but most are pretty tolerant and can even be used to control nutrients. Some require calcium, such as shaving brush or halimeda. Liveaquaria and live-plants.com are good starting points, and will provide some basic info about the care of different species.