Yes, I totally agrree with BB.
Andrew: read up on decoupling. Though, in one aspect, it does provide 'filtering' in the loose sense.
100nF polyester is a low cost and easily available general puprose capacitor. For noisier situations many people prefer a ceramic capacitor with superior dielectric e.g. X7R or X5R or better. These have good high frequency characteristics including lower ESR.
Like BB says above, many hobbyists/newbies don't bother. In some situations it doesn't matter, but is usually down to newbieness or tightfistedness.
But I have found that even in ADC circuits it can be necessary.
Personally, I fit 22nF/47nF X7R ceramics by default. Sometimes a parallel 10uF tant.
For best decoupling these should be as close to the PICAXE +v/0V pins as possible and with the shortest tracks possible.
In your case, if you've lost it and you are only doing light-weight stuff then if you have a 10uF to 47uF >10V electrolytic kicking about then that will help.
But, as said, when ordering include a pukka one - and a few spares