Does the OBIEE installation contains libraries/packages/files necessary for talking to an SSO server?It depends for what you call an SSO server. If you mean that OBIEE has to obtain the User ID from an external server then no, you won't be able to do this out of the box.
Or do we need to install application server also for making SSO to work with OBIEE?It depends on how you implement SSO.
Oracle app server is packaged with all libraries/files for connecting to SSONot entirely correct. Oracle App Server implements an SSO solution for Web Applications running in OAS. This means that once you are authenticated to OAS (by whatever means you defined in OAS) you will then be allowed to use any other Web Applications in the same OAS installation in SSO mode. These Web Applications need to be configured in OAS for SSO and need to supported the GetRemote User method (which most J2EE Web Apps do). OBIEE supports the OAS SSO implementation so that you can login to OBIEE in SSO mode in an SSO enabled OAS. However if you are not using OAS then you can't really use OAS' SSO solution.