The short answer: Download it just so you have it (you may or may not need it, I'm not sure).
The long answer:
Looks like a language pack CD. I think you could get away without having it, but I would recommend you download it. If the installation doesn't complete correctly, it's not the greatest thing to go through for a first time user.
I'm assuming this is the first time you are installing Linux. If you have done this already, you can choose the long package selection method (the really big list) and make sure you don't choose anything on that 3rd CD.