It doesn't matter if you want one or not, they don't care.
To set up your iPhone, you'll need an account with Apple's iTunes Store. If you already have an iTunes account, make sure you know your account name and password.
If you don't have an account, you should set one up now to save time later. To set up an account, launch iTunes, select the iTunes Store, and click the Sign In button in the upper right corner of iTunes.