Currently Being ModeratedJan 11, 2013 11:04 PM (in response to Yomyyo)
Welcome to the Apple Support Communities
It's not required, but it's highly recommended because Windows won't run correctly on your Mac without the Windows support software.
It's normal that you feel that the download doesn't go anywhere, but it's because the Windows support software is a big package (about 600-650 MB) that must be downloaded and burned into a DVD or USB drive. My recommendation is to download it, because you will have to download it anyway