WP does not have this functionality. Nor does it intend to incorporate it
This was one of the highest voted feature request - but as per WP its plugin territory.
The only plugin I have found is:
And that does not work. It sends the approval email to the user for approval & not to the admin !
Strange that WP puts so much of effort on Akismet to stop spam, but a seemingly easier way to approve users (and keep the blog clean of any spam) it does not want to do!