In the iOS Provision 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 authority certificate that affirms that your development or distribution profile certificate were issued by Apple's WWDR and not forged somewhere else.
The WWDR certificate is needed to tell Xcode that your other certificates are valid. You need to download them all and drop them on your KeyChain.