You have to install your OS after the PC is built. Since it has no OS to boot from, it'll keep showing that error. Insert your install media (DVD or flash drive), and boot off of it. On most motherboards, you can do a one-time boot where it boots off of the flash drive or DVD drive instead of having to manually change the boot order.
Once you boot off of the install media, you go through the regular setup process of installing Windows (assuming that's what you're installing). Once Windows is installed, it'll reboot and go through another quick setup phase. Once that is done, you should have Windows fully installed. At this point, you'll want to install all necessary drivers to get your system working correctly.