Title says it all. I've been searching through:
TOOLS -> Options... -> Text Editor -> C# -> Formatting
and can't find anything like "Complete parenthesis yes/no". Textmate has paren completion, Eclipse has paren completion, Mono on OS X has paren completion but does VS really require a plug-in to do that?
Edit: I'm interested in VS automatically inserting the close paren when an open paren is typed. Title and question updated.
Check out the visual studio extension called Brace Completer. Based on your description, I think it will do exactly what you want.