No, after you download the client, you extract everything and you'll get "Epic Perfect World" folder as the result. Open that folder and click the .bat file "Start" (Run as administrator if using windows vista) Your client will then load up and you will need to click "Update" and update the client. It'll probably take a little while at this part and the client will change to the blue-ish one after a few minutes. Usually when it's finished, a small window pops up on the client that tells you to edit your game graphics, etc.
(I'm saying this off the top of my head how I did it because I was a bit confused too when I did it at first. Sorry if I missed anything and let me know if you bump into anything you don't know about, I'll try my best to help).