No. All you need is a USB cable to connect the DISCO board to your PC.
What STM development board do you have?

Hello, newbie here...
Can I use the debugging feature for an empty project where I'm NOT connecting any hardware/board to my PC with an USB cable ? I mean just build a simple code and run the debug- Does it works?
Coz I was getting an error like "No ST-LINK detected

Moderator edit: New thread created from this.

 

You can debug your program without any hardware connected. Just use the Simulator.

From the tab menu, select:

>Project >Options... >Debugger >Driver >Simulator