jerry,
I remember one occasion where I did have to use the grounding wire. I was hooked up to a machine that did some tig welding with a robot. I don't remeber exactly what happened, but I remember monitoring a program and several weird things were happening. I think the monitoring process was locking up or something like that. Anyways, I would have to agree with panicmode that you usually don't need to bother with it. If your having any particular problem, post it and someone will help you.
Tim