You have to have a copy of Windows.
Search is your friend.
Since you just got your Mac, and seem really unfamiliar with it, it might be a good idea to hold off on Boot Camp for a while until you get more experience with your Mac. A good first step would be to
read the Boot Camp page, which says:
At startup, hold down the option key (alt) to choose between Mac OS X and Windows.
The web page also offers complete step by step instructions on how to do it.
http://www.apple.com/macosx/bootcamp/
You may also want to read the
Wikipedia page about Boot Camp to get a better grasp of what exactly it is.