No you do not -
Assuming you have XP then jsut install the drive as a slave to your existing drive.
Then boot the machine and right click on My Computer choose Manage and then Disk Management.
You will see your new drive and it will say 'Not Initialised' Right click where it says this and choose 'Initialise'
Once this is done right click on the right hand side of the entry and choose 'New Partition'. Follow the prompts through and I would select 'quick format' when asked. The drive will then be partioned and formatted and ready to be written to.