Effectively, but it's all handled behind the scenes by the compiler itself and there is not a header file as such. The following page details what instructions, predefined constants and 'assumed subroutines' are available for WJEC Assembler -
In my opinion there is not much usefulness in learning or using WJEC assembler unless one is undertaking a course of study which requires it. It is rather limited in its utility and not the best choice for programming a PICAXE for a real project.
You would be better off learning PICAXE Basic or coding with Flowcharts or Blockly. You may also find it better to choose a 20M2 or 14M2 rather than the 18M2 because ports and pins are somewhat better placed for those chips. A 20X2 is a drop-in replacement for the 20M2 if higher execution speed is required.