No, you don't need any additional apps or launchers. All games downloaded from GOG.com are wrapped in a nice self-executable (.exe) setup file, some of the larger ones are accompanied by a .bin file or two. So after you've completed the download, just double-click on the .exe file to install the game on your hard drive. After the installation is complete, shortcuts will be added to your Start Menu, desktop and Games Explorer, so you can launch your game just like any other.
As for movies, you can either stream them directly from the site, or download them as .mp4 files, which you can then play with your favorite video player.
However, if you want the convenience and additional functionalities of a client, you can use the Galaxy client. You can learn more about it here. The client is entirely optional and not required to install, play, or manage your games, but it offers additional functionalities like automatic updates for games, achievements, and cloud saves for select games.