Yes. If you are injured at work, you must report the injury to your employer. You only have 90 days from the date you realize you are injured to report the injury, or you may lose your right to benefits.
If you suffer a serious injury, you could face permanent impairment or work restrictions, so you should contact an experienced workers compensation attorney immediately to discuss your rights. As you may already know, the insurance company represents your employer, not you, and they will certainly look for any reason to reject your claim. If your claim is denied by the insurance company, it is advisable to consult with an attorney. While you may represent yourself and request a claim hearing on your own, be aware that the insurance will hire an attorney, so you should make sure your rights protected by an experienced work injury attorney.