In the Apple Developer Portal, in Certificates, Developer (or Distribution) it says:
"If you do not have the WWDR intermediate certificate installed, click here to download now."
I don't even know what that means. Do I need to download and run that? or do I need to only download the current certificate only?
You need to download it and double click on it. It will get stored in your computer's KeyChain. It can be described best as something like root level certificate authority that affirms that your development or distribution profile certificate was issued by Apple's WWDR and not forged somewhere else.