Devices won't work properly (audio, graphics etc) without the proper drivers, indeed some may not work at all.
Windows will install some of them from its own driver library, but not all. Depends on the Windows version, Win10 for example has many more drivers than earlier versions, plus it usually delivers missing drivers via Windows Update.
Anyway, it's no big deal installing drivers, most people know how to do that but one of the commonest mistakes is going to the wrong source.