Two parts of DriveKey can be updated: The FPGA and the SPI Flash. Most updates only need to write to the SPI Flash, meaning that they can be applied via DVD. However, if an FPGA update is needed, it will be necessary to connect the d2prog JTAG programmer to DriveKey.
If you don't mind opening your Wii at a later stage if/when a JTAG update is needed, then there is no need to attach the JTAG cable now. However, if you want to be able to perform JTAG updates without opening you Wii, simply follow these instructions.
Step 1: Pull out the grip, insert the cable (pins down) and push the grip back in.
Step 2: Thread the other end of the cable out of the Wii. Above the USB port is a good location!