No, you do not need to download the movie trailers from Safari before watching them in Front Row.
Front Row streams it straight to your computer from the Apple Website.
Depending on your connection, it may or may not take long to stream. I have an iMac with FrontRow, and it starts to play instantly. No waits, no buffers, no lines.
--And then again, I have 3.0mbps/512kbps DSL.
It all depends on your connection, but once again, no you do not need to download the movie trailer from Safari before you can view it on Front Row. Front Row streams it, or downloads it on the spot, for you.
After you are finished watching the trailer, it automatically deletes the trailer.