Do I need to download anything?
No, since Nokia Mail is web-based, you don't have to install anything. It's one of the major benefits of using a web-based application; you don't have to bother with downloads and updates on your computer. We do all that, on ours!
The other big benefit to web-based mail? You can still access your account from any computer that has an internet connection.
And here is some tech stuff for the curious: Nokia Mail uses Dynamic HTML, XML, and SOAP, technologies built right into the browser. You don't need Java or any plug-ins to access it.