It is customary to include some background information about the truck (engine year, mods done) your asking about. Different years of manufacture have a few differences between them that can effect the answer.
I will give you the generic 'cover it all' answer.
First, Deleting the EGR cooler will stop the flow of exhaust gases into the intake. The intake should be cleaned as part of the install, though not absolutely necessary.
Installing an EGR cooler delete can take the inexperienced 'back yard' style parts swapper a full day.
Post install, I recommend leaving the EGR valve in place (and plugged in) in the intake. Since the EGR cooler is deleted, the valve is doing nothing. There is some evidence that removing the EGR valve can cause some issues with the cooling fan turning on at the proper time.
Having an EGR cooler delete will result in a "check engine light" on some year engines. The 05 and newer engines will likely get the code. There is a way around getting the code, and that is to purchase a tuner with the ability to delete the EGR valve commands along with a custom written tune. The SCT "X3", "Livewire" and their "Touchscreen Extreme" are very popular tuners. The tuners loaded with custom tunes cost in the 400-1000 range, depending on what style of tuner you want.
There are other EGR delete kits that are of good quality that are not as much money. CLICK HERE
for one that will cost about half of the one you linked to.