No, you don't... just download the gog installer, then buy the games, download them and play. There's no DRM, so you don't have to be connected to the internet to play them.

You just need to download the file, and install it. After that, you should be good to go. No internet connection needed, once the file is downloaded.

When you buy the game, you can download the installer for it in your browser. That is the only time you need an internet connection.

There is no special client program, no launcher, no activation, no nothing. You can install the game, you can play the game. You don't even need the installer once it's installed. You can log into the GOG website at any time and download the installer for any of your purchases as many times as you like, install it as many times as you like on as many computers as you like and play it on all of them.

It's pretty cool here. You'll like it.