You will need to have the car tuned to run safely with the new downpipe, any check engine light that may be triggered by it can be disabled in the tune. There are a couple of different routes you can take for tuning. A cobb accessport with the stage 2 map is probably the easiest, but there are other ways to do it that may be better and cheaper if you know what you're doing. Check out the tuning forums, there's lots of great information in there.
It's also a good idea to replace the stock uppipe with a catless one if you are going stage 2. If you don't, you run the risk of the cat coming apart and destroying your turbo. Uppipes aren't very expensive and they require removing the downpipe to install, so it makes sense to do them both at the same time.