There are a few different kinds of noise reduction. There's high-ISO, which is a firmware thing and I believe that Jerry linked to. I'm not sure whether it can inherently do better than third party software or whether it's just Canon's in-camera PP software. I.e., does it actually make use of privileged physical data that a third party program wouldn't have? It might, I'm not sure. If so, or if you don't care or don't want to pay for other software, great. If not, you may want to look at other available options for noise reduction out there for high ISOs.
There's also long exposure noise reduction, which DOES definitely use privileged physical data and cannot be replicated by third party PP software. What it does is take a second exposure with the shutter closed, in the same environment and temperature and exposure time, and subtracts the inherent heat noise in the sensor in that environment from your previous image. Which is very much a useful and important feature, like when doing astrophotography for instance.
(You can also manually replicate the long exposure reduction yourself by shooting "darks," frames with the cap on, once per change in lighting or location or temperature, and then subtracting it yourself. Which saves time, but requires know-how and still also requires active data collection on sight / can't be done purely in PP)