This song is called "Much Too Soon," and it was never released in any public album. VEVO decided to put it on the Michael Jackson page on Apple's social network of sorts, Ping, for this week only. Its a very nice song, and as VEVO puts it, "it finds its place as the bittersweet ending to the stellar collection."
If you're running iTunes 10, you can go into the Ping tab of the iTunes Store and search Michael Jackson; the song should be the first blog entry on the page. For those of you who aren't, I'm going to upload this to YouTube, only to find it'll be taken down minutes later for copyright infringement

EDIT: It's up on YouTube now.
http://www.youtube.com/watch?v=R957Rj0PfVo
EDIT 2: Wow, they're fast. Not two minutes after I uploaded this I got an email telling me that there was content that might be owned by Sony. Thankfully, it wasn't taken down, but they might do so soon.