Thats correct
Microsoft Live want to prove that you own the domain you are setting up services for on the domain. they commonly do this by asking you to create a specific DNS record (usually a TXT record) this tells them you have control of the domain so likely must own it, thats proof enough for them.
the other DNS records required are to make there services work, eg MX records so that the Live service handles email for your domain, SRV records so that you can use Skype/MSN messenger on your domain