Yes, you do! It is the water that turns into steam which causes the pressure in the pot to increase. Unless you do not have any water, there will be no pressure to cook food the way it should be done. However, you need to be careful about the amount of water you put in the cooker; too little or too much water can cause trouble with the cooker and the food as well. Most pressure cookers come with a water level marking that you can use, but if you are not satisfied, you can add at least 2 cups of water, depending on the recipe and ingredients being used.
Also, the amount of water will vary according to the cooking duration. Meat will require more water, thus more time to get tender, while chicken will need less water and time.