You'll need to transfer it into the Transfer Lab or trade for it.
It cannot be caught in the wild.
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Darkrai has the catch rate of maybe the lake pokemon( Azelf, Uxie, and Mesprit) seperate.
They will run away, and you have to find them in the wild and capture them.
Dialga, Giratina, Heatran, Mespirit, Uxie, Azelf, Regigigas, Rotom, Cresselia,
You can't, you will need to trade them from Pokemon Diamond, Pearl or Platinum.
Azelf is a legendary Pokemon.