Wait, so you just built it? As in no OS yet? if there's no OS there's nothing to boot to, so that message would be normal, if you do have an OS installed already, go into your boot order in the bios and make sure your boot disk made it on there, some boards have a funky default set where things like PXE and USB get put into the order to the neglect of the actual boot disk.
"Reboot and select proper boot device or insert boot media" means that there's not bootable device plugged in. You need to make bootable usb storage device and install your operating system from that usb device. There's plenty of tutorials about making usb stick bootable and installing operating system from there.
Thanks! I'm fairly new to all this and just wanted to make sure.
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