If you are connecting through a USB modem or cable LAN to router (router has internal modem and connects to telephone line) you will be best to use the disc, yes. Settings can be difficult and time-consuming to set up.
It is possible using the connect wizard, using settings taken from your provider's website settings. You will need to check this.
Alternately, you may be able to download a set-up file/disc (although I have never seen this)
(The Orange wireless router software is pretty easy to do from disc. It installs router software sets up settings and LAN, and authorises connection to Orange. To add another connection, one just puts disc in again)