Ummm...no not the same as playdoh or the stuff the kids play with. It's actually stick as it's meant to work with a lubricant detail spray or in some cases diluted car wash solution. As you run the clay bar over the wet surface it pulls contaminants off.
Clay bar sets (clay plus lubricants) can be found at your local Auto Zone, Grand Auto, Kragen, etc. They run about $10 to $20 for the set as I last recall. If you decided to clay, you should follow it up with at least wax as it will pull the was off leaving the car unprotected.
As you can tell I'm a little detail crazy.