Do I need to install all the certificates that I received?
Yes, if you do not install all the received certificates you will receive not trusted messages when you go to the secure area of your web site.
Installation example: Apache and mod_ssl/OpenSSL
Extract the ZIP file containing yourSERVERNAME.crt and yourSERVERNAME.ca files in the folder /etc/ssl/crt/ and the keyfile yourSERVERNAME.key to /etc/ssl/key/. Then set the files on readonly for the system user with command "chmod 400 filename".
Now change the httpd.conf for the corresponding vhost as follows:
Please note that the path of your system may differ.