Sitecore DOES support Automatic Publishing. However, there are not many instances where you would want Sitecore to automatically perform a publish.

The values to change reside in the web.config, right where you have definitions for the scheduling and agents

   1:    <agent type="Sitecore.Tasks.PublishAgent" method="Run" interval="00:00:00">

   2:          <param desc="source database">master</param>

   3:          <param desc="target database">web</param>

   4:          <param desc="mode (full or incremental)">incremental</param>

   5:          <param desc="languages">en, da</param>

   6:        </agent>

I guess that a value of "00:00:00" for the interval attribute does disable automatic publishing. If you set the value to (say..10 minutes) "00:10:00", you will notice that after 10 minutes or so, changed items from the master database will be copied over to the web database.

Automatic publishing is useful where you have integrated external datasources in sitecore (using Data Providers) and where there needs to be a predefined process that synchs the external data to the web database. For the automatic publishing to work in this particular situation, you must have had created a new database entry (with a reference to your data provider) in the web.config.

Sitecore Data Providers....hmmmmm...that's upcoming.... :)