Depends what it says on the adhesive packaging. Generally speaking you do not need to, however, if you do it will give you a longer working time from when you spread the adhesive on the wall. Having said that you do NOT use PVA on plasterboard in shower areas - if you must use plasterboard, you need to tank it with a waterproofing kit prior to tiling.
It's basically like a waterproof paint - it comes with mesh tape for wall corners. You basically daub it all over the walls in shower areas then tile over it when dry. Stops any water that makes it through the grout from damaging the plasterboard and making the tiles fall off.
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