Yep, you need to install the Google Conversion Tracking code snippet (that loads on your confirmation / receipt page), it's separate from the GA tracking code (that loads on every page in your site).
This is correct. Analytics & AdWords Conversion Tracking are separate products, and so both snippets of code will have to be installed.
GAA
[edited by: GAnalyticsAdvisor at 2:49 pm (utc) on Mar. 6, 2008]