Apps generally run better from the internal card, hence it's the default - the ability to run from the external card was only added in 2.2 and some programs don't support it (e.g. Flash can't be moved).
App2SD isn't an app, but you can move the applications yourself - Menu > Settings > Applications > Manage Applications, Click the app you want to move, then click the move to SD option. Your phone needs to be running 2.2 for this option to be available, and not all applications will support it.