I just installed windows 7. Intel recomends to install the Inf utility after you install the operating system and before you install everything else. There is no version for windows 7 yet.
I sometimes installed but sometimes had my machine without it after a fresh install, are they really needed or all the needed drivers come with windows by default?
Go for it. First, Intel is one of the few companies whose drivers I would implicitly trust, especially chipset drivers. Second, it's a new OS install, so you don't have much to lose if it doesn't work.
On the other hand, if this were a scenario of a long-time stable machine with lots of stuff already installed and customized, I would apply the guideline "if it ain't broke, don't fix it."
You primary answer is at the Intel link you gave.
Do I need the Intel® Chipset Software Installation Utility?
Did you just install the operating system?
If the answer is yes, you should install the Intel Chipset Software Installation Utility to ensure that your chipset is optimally configured. Note The Intel® Chipset Software Installation Utility is not required and not available on systems running any version of Microsoft Windows NT* 4.0.
If the answer is no, you do not need to install the Intel Chipset Software Installation Utility.
About when to install,
If the Intel® Chipset Software Installation Utility is required for your system, it should be installed immediately after installing your operating system and any operating system service packs, but before installing any other device drivers.
About the Windows 7 support, here is one Beta user interaction at the Intel forum.
I would not install it unless a specific problem arose that would require the installation of the INF utility to solve.
Windows 7 has excellent driver support, so I doubt you'd get anything truly important.
I used to install it on XP as it needed it, even when I installed SP2, I would have errors with certain on board components. (I have not tried SP3 as I have never run it on physical hardware, only in VM's which obviously didnt need it)
In Vista RTM, My first experience was that I plugged in a USB drive to copy my drivers and it copied at about 9MB/s which I thought was fast... Installed the drivers, then tried again and the speed went up to 23MB/s!
On Vista SP1, I got the high USB speeds out of the box and when I installed the drivers, it just went next > finish really quick and did not seem to install anything, so I guess the drivers were bootstrapped.
I am currently using Windows 7 7048 and out of the box it did not require any drivers and I have been getting good speeds on USB and performance elsewhere. When I reinstalled 7, I did install the drivers again but it did the same as on Vista SP1 and just finished without visually doing anything, so I guess 7 contains the latest drivers.
It may be possible that in the future, there is some upgrade that does many new features, but I am sure we will all hear about it first. If everything is working and you get no yellow triangles in computer management, I think you are safe!
