Nah, you don't have to tell the insurace company where you're taking the car. Though, at the same time (generaly speaking) you will not be covered on the track.
I sugest that you have fun there, but be safe ... which is pretty easy on the track as there are tuns of run offs usualy so you just need to be sensible.
Also going onto the track will have no effect on your insurance if you have an accident on the road at some stage ... that is as long as your car is in good, and roadworthy condition.