AO maps

I have a question. When baking a AO map to a model, do you have to have a high poly version of your model selected, too? I just don’t understand AO maps too much.

You don’t need a high and low res model. The AO map can be baked for any complexity of model.
Just think of it as you getting shadows where two faces come close to each other, they occlude the light, that is where you get the dark areas in the AO map.

Does that mean I should have a light setup when I bake AO maps?

You don;'t need lights. The AO is a function of the scene geometry, not about the number or strength of any lights you have.