|Being a Dell, it should already be activated and ready to go.|
If you ever do want to connect to the internet all you need to do is plug it in to your moden...router. Other wise leave it disconnected.
The first thing I would do is make a full backup of the computer and save it in a safe location.
Then create a restore point.
Did they also give you a cd with it? Dell install disk.
If not, ask for one.
But in answer to your question......No you don't need to be connected to the internet.....You are good to go!