Powerline adaptors work straight out of the box without any setting up. The 'installation' CD is probably a configuration utility which enables you to do things like adding passwords and changing the encryption settings. There is what I consider to be a fairly remote possibility that a nearby house on the same electrical phase as you could connect with your network using a powerline adaptor, so you might want to use encryption. I guess it depends on how strict you want to be about security.
