In late 90's my first soft I used was some Phillips bundle, but not one cd finished the burn (they have been expensive than). So I bought Roxio and as they bloat the soft with non sens ,than NERO, than Infrarecorder .......
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.