Am I mining correctly?

I started mining yesterday but I am not sure it if is working correctly as I have just read about the .dag file and I didn't see that mentioned on the quick start guide I read.

I've installed claymore and it seems to be working fine


I'm mining into the ethermine pool and that is recording the work I am doing


I also have downloaded an Ether Wallet and that has been syncing for nearly 24 hours and is only 40% complete!!

I don't think I have downloaded a .dag file (unless this is what the wallet is doing?)

Have I missed out a step?

thanks in advance all