Yes, you need to download the CODEC PACK offline installer to be able to deploy all the codecs, players, and settings to your PC. Luckily, there is an automated installer with wizard-enabled features that helps you choose and configure the Mega Pack to work the way you want it.
You can download the installer from the following page, which is actually the official one: http://www.codecguide.com/download_k-lite_codec_pack_mega.htm
Save the package, then launch it (preferably with Administrator access) and follow the instructions to properly deploy it on your system.