I can't speak for other cultures, but I can assure you that where I live in the UK, this is considered jolly bad form. When in Rome, one should respect the culture, so to speak.

How would I handle it? I would simply ask the parent to remove the superfluous child, as they are not catered for. If there had been a no-show, I would perhaps permit it, depending on the circumstances (it would depend on closeness in age, appropriateness of the activities in question, and so forth). But I wouldn't be impressed at the parent simply turning up out of the blue, with an uninvited sibling.