I just bought a My Passport 2TB Western Digital USB 3.0 portable hard drive, do I need to install "WD Apps Setup.exe"?
MORE: From checking Device Manager, my system does not appear to be USB 3.0. I see no mention of 3.0 in there. I mention this in case this install is related to USB 3.0.
No, you do not need to install the WD Apps utility in order to use the device. These sorts of apps may offer some features you like, but it it not necessary to use the device, and most technical people will generally recommend not using these OEM apps.
Find how you want to use the drive and choose the right software that meets your purposes.