no, not necessarily. If you install it through windows ,when you are about to do the installation, it will ask you how much of your free space want to be used for the linux system. I m not sure about the other ways (USB/dvd) cause havent tried but it most likely it will ask you there too.
Its pretty easy and straight forward procedure. Once you downloaded the OS its like installing a windows program. At least for Ubunt and linux mint that i ve tried. Always did the installation through windows (too bored to make bootable usb's ) and never had a single issue with boot or lost/damaged files. No issues at all.