The only yarn that HAS to be wound is yarn that comes in a hank. A hank is the one that just looks like a big twist. If it's a skein you can just find the end that's inside or outside. It's up to you though.
Amy has a video here in KH for winding a center pull ball, too. That's where I learned. It's toward the bottom of the link.
http://www.knittinghelp.com/videos/knitting-tips