ya! you need it, don't delete it, if your hard disk becomes unbootable, it will recover to the recovery environment thats what the winre.wim file does, You can't delete it without changing permissions on it anyway.
Under all normal circumstances you have no need to see or change this folder or file in anyway, but there are some circumstances that you do, example is if you use DArT 6.5 which adds the old Winternals ERD commander to your normal Recovery Menu, and you create your own new wim from that and want to move it into your Recovery Environment, so you no longer need the cd to boot from, just jump into it on boot using the F8 key. I have done this on my own machine and it works beautifuly.