Actually, you can see what the method does, as Microsoft make their .net base class source code available via 'Microsoft Reference Source Code' (clicky) - you can step into BCL code in VS (also much of the BCL stuff is available via Rotor, the open source implementation of .net, however WinForms code is not available IIRC).
Examining the code (which I don't want to paste here just in case it violates MS's license), it's clear the method is O(n) worst-case.
Basically the method loops through each item in the list, moving back to the top of the list if the bottom is reached (through a crafty use of the ever-lovely mod (%) operator and a counter). Obviously that is O(n) in the worst-case (i.e. the searched-for item is not in the list) where it would have to iterate over every member of the list.