No you need only CD 1 and CD 2 for a complete installation.
Please read the "official announcement" and also the CHANGES_AND_HINTS.TXT on the site
http://www.slackware.com.
There are specific instructions on installing the 2.6.17.13 kernel (by default, you'll get the 2.4.33.3). Basically be careful during installation when you're asked about which kernel to install (select huge26.S) and don't forget to install 2.6 modules after installation in extra/ directory of CD 2