No you don't. Analog works just fine. In fact I ran mine on analog until I found my digital speakers (back when I unpacked it).
If you're getting funky sound then I can only think of 1-2 problems.
First might be a problem with how it's hooked up. Maybe. I don't know. Maybe you've got a cable in the wrong place.
Second (more likely) is a software problem. What drivers did you install? What software? Did you get an install CD?
If you put the card in, boot up, and windows recognizes it, you can cancel the driver install and then go to
http://www.creativelabs.com and under the support menu select autoupdate and it will download and install everything you need.
Once or twice when I installed the pre-packaged software, I'd get funky "hall" echos and deep base on stuff. It was something in the software where it was adding effects to everything. I disabled it but I cannot remember how (as I have long since stopped using the pre-packaged software).