When you boot up your PC for the first time, you will need to have a boot device. The best way to do this is to buy a USB flash drive and download the Windows boot media using another computer. You can find the Windows boot media creation tool here.
After creating the boot media, insert it into a USB port on your newly-built PC and press a key. This will open the Windows 10 setup wizard, and it will guide you the rest of the way through the setup. It will prompt you to enter an activation key, but you don’t have to have one. If you do decide to buy it, you can download it here.
If you don’t buy Windows 10, the vast majority of your experience will be exactly the same as that of a paid user. The only difference is that you’ll have limited access to security patches, updates, and a few other features, but these may not be worth the large price tag.