actually nope
you just have to plug in the pretty SQL file into mySQL like this:
mysql [database name] < links.sql
you might have to use a name and password with that, but it should ask you
and let it go...just setup your database host, username, password, and what the name of the database is in the database_info.inc file and you're set.
if you need any help, feel free to PM me and i'll help ya out.
*jeremy