Should I take my pictures in Large format?

I have the Nikon D5000 I'm wondering if I should take the pictures in Large format, I still click on the JPEG function but does it affect the picture quality if I set it to Medium? Is just that when I upload them to my computer there to big something like 4001 x 3200 something like that, will it affect the quality of my pictures if I click on a smaller format?

Yes, it will affect the quality of your pictures if you choose a smaller format. If you're just using your camera to upload to Facebook and suchlike, then it doesn't matter. If you're doing photoshop, or intend to get (large) printouts of your pictures, then you should leave it on max. With prices for memory cards being what they are these days, I don't see the reason why you should use anything but the best resolution available.

You should ALWAYS take your pictures at the highest resolution you can.
It is very easy to reduce the size but not so easy to increase it later.