To create a channel on the Lightning Network, do you have to execute an actual transaction?
Yes, a channel opening involves creating and signing 3 transactions, and broadcasting just one.

The transaction to be broadcast funds the channel, and spends to a multisig output. It is signed by whomever chooses to fund the channel. When this funding tx receives sufficient confirmation, the channel is considered open.

This multisig output is spent by two commitment transactions signed by both payment channel peers, but not broadcast. Each peer stores its own commitment transaction and only broadcasts it if it decides to unilaterally close the channel.