No they don’t have to have the www in there although it depends on how you display the URL to the end user. If you want the user to eventually end up at the www. version of the address then by not having it in there you’re just making Google have to do a redirect when it follows the link. You don’t want to end up with duplicate content, for example
http://www.mysite.co.uk, http://mysite.co.uk, http://mysite.co.uk/index.php and http://www.mysite.co.uk/index.php are the same URL.
This can be addressed with a Canonical redirect in your .htaccess file in the root of your domain. For best results, each page of a website should be reachable at a single persistent url. This address is known as the page’s canonical URL (Canonical refers to being the authoritative address).
Options +FollowSymlinks
RewriteEngine on
rewritecond %{http_host} ^mysite.co.uk [nc]
rewriterule ^(.*)$ http://www.mysite.co.uk/$1 [r=301,nc]
rewriteRule ^index.php$ http://www.mysite.co.uk/$1 [R=301]
