No, you can install Win from the thumb drive. Then download the drivers from the board's website rather than using the ones on the disk. But you may need to first have the board's Ethernet driver available on the thumb drive in case Win doesn't recognize the LAN chip and install the driver automatically.
In reality, Win should find the necessary drivers eventually via its win update.
Optical drives are cheap if you want to add one. $15 -$20.
Another option is a USB portable optical drive.