There is a copper wire attached to my old light switch, do I need it?

I am replacing it with this one: http://www.amazon.com/gp/product/B000NCV...

There is a copper wire with no covering. I assume it is some kind of grounding wire? It was attached to a green screw. Do I have to have it connected to something?
Update: There is no place to attach it on the new switch. Can I install it anyways?
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