Windows 10 set up help
You'll get a download tool and a license key to use to activate Windows. Windows can be installed using any USB stick and Microsoft's Media Creation Tool. You can install and use Windows just fine without buying that license key, and can purchase a key and activate Windows later to get rid of the pesky "Activate Windows" watermark in the bottom right corner of the screen.
There are more advanced tools to install Windows, but I'm gathering from this post that you're new to this thing, which is okay! Save yourself the confusion and use the Windows Media Creation Tool to put a Windows installer on a USB stick. When you build your computer for the first time and put that USB stick in, it will most likely boot off the USB stick since there's not anything else to boot from, otherwise you can follow steps from your motherboard's manual to boot from the USB stick manually. This is the most common way to install Windows.

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