Since no one answered your question, I'll be clear: No you don't have to install anything to burn a CD from within the Windows 7 CD burning wizard.
Furthermore in Windows XP, the embedded CD burning wizard is using Roxio's CD creator technology (previously Adaptec CD Creator), so do Windows Vista/7. Even though it's pretty basic, you won't need anything else.
BUT as some suggested, using a specific software would improve the quantity of options for you to burn differents kind of media.
I too prefer to use CDBurnerXP, in it's latest version of course. It works with all Windows version.