No, they should not. Windows provides opengl32.dll as a part of their OpenGL system and drivers provide a layer on top of this dll. Your program communicates with opengl32.dll, and opengl32.dll communicates with the driver.

Ok, so what we got:
- on UNIX based platforms OpenGL can be used as any other library: headers and dynamic librarires are shipped with vendor's video drives (nvidia or ati binary drivers) or with mesa (if we go free software way) so all we need to do is include gl.h, glext.h and link our application with libGL.so (still we need to check if our HW supports opengl extentions we need, glGetString(GL_EXTENSIONS) + search does the trick).
- on Windows platform we are stuck to wglGetProcAddress as OpenGL32.dll only exports OpenGL 1.x functions.
On the other hand all the troubles can be eliminated with glew library.
Correct me if something is wrong.

Nope, i got nothing to add now.

PS. glew is not the only option (although i would recommend it over others because of it extensive coverage), the link i gave previously gives a few alternatives also (which may or may not be more suitable to you).