It is recommended that you download the "Basic MiKTeX Installer" from the download page. This allows you to set up a basic MiKTeX system. And since MiKTeX has the ability to download needed packages on-the-fly from the Internet, you will not miss any feature.
It is possible to install a complete MiKTeX system. For that purpose you can use the "MiKTeX Net Installer" which can be downloaded from the download page.