No, you do not. However there are some things that you can do with the nunchuck that you can't with the regular wii remote.
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You need to do something.
You need to use Donkey Kong
You need a Nunchuk for that. Hold the analog stick in the direction of the base that you want to steal, and press A.
He is in a tree at the very bottom of the area, right by the stairs. You need Yoshi to get him.
You need to download a project 64and a super Mario 64 ROM.