Yes, to convert a document you need to have an application installed on your computer which can print your document.
For some documents Windows has built-in applications so you don't need to install additional applications. This include text files (.txt), image files (.gif, .bmp, .tif, .jpg) and HTML files.
As for other types of files, you need to install applications capable of printing such type of documents. For example, to convert MS Office documents you need to install MS Office or MS Office viewers or OpenOffice, to convert PDF documents you need to install Adobe Reader and so on.
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