No...you don't have to sign up for anything. If you bought the "available for international shipping" version of the 3G/wifi Kindle, then it will work almost ANYWHERE without needing a service provider, etc. I've used the download feature on mine in Canada, the US and the Cayman Islands, all without any additional setup or costs.
My personal recommendation is to leave the wireless/3G turned off when you're not using it to download something, however. (Press the menu button and you'll see that option in the list.) The wireless is a bit of a battery hog, and I find I get a lot longer out of a charge when the wireless is off.