It all depends on who you ask: I know that in Tibetan Buddhism tradition says that the soul descends into the womb on the 40th day after conception (or at least that's what I remember hearing; could be inaccurate). And if I recall correctly, many sects of Judaism believe that the soul enters the body upon the first breath at birth. Which is something I'd suspect is held by many other cultures, since the word for spirit and wind/breath tend to be the same.

There's also the more fundamental question - what defines a soul, and how much does a person's brain need to be developed in order to 'have' one? Or does a soul come into existence after birth, etc.