I think the size difference is partly because some of them include historical scenarios in addition to just the maps. This is particularly true with those from Axial, I have found.

Installation is easy: unzip the file, and copy the .jjm and .tga map files to the /map[s] folder in the shogun directory. All this is in the readme that is included in the zip file.

And yes, all parties MUST have the map in order to play an MP game...