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No best answer has yet been selected by oohbadknee. Once a best answer has been selected, it will be shown here.
For more on marking an answer as the "Best Answer", please visit our FAQ.I take you mean a natural object like a comet or asteroid?
Many planetary moons are believed to have been "captured" in this way although our own moon was probably split from the earth by an impact event.
The velocity required depends on the radius of the orbit but if memory serves this works out at
V=GM/r
where G is the Gravitational constant, M the mass of the planet and r the radius of the orbit. I think a body passing the a planet at a trajectory where its' minimum distance and velocity match this would be captured.
I think it's more likely to be travelling too fast though