Unless specified, most guided ski tours do not include equipment or suitable clothing. If you don't have your own skis then you will find plenty of places to rent in Cortina d'Ampezzo – just ask at your hotel for your closest shop.
Most tours run from November until February, which is when the snow is at its best. Because of this small window, tours tend to fill up fast, so it's worth booking in advance to reserve your spot.
It can get mighty chilly out there, so layer up and make sure you have a full set of waterproof clothing to keep you dry.