Yes, you need to go into the BIOS the very first time the PC starts.
You will have to set some basic things like the month, day, hour, minutes.
It will pretty much detect everything else, unless you have some very old or oddball hardware. Some things like the USB controller by default will be disabled, you will probably want to enable that.
Just read the motherboard manual, especially the pages about the BIOS setup screens. Most things you can just leave at "auto" settings and everything will work fine. You also want to make sure the boot order is set correctly, CD first, then harddrive, or you won't be able to boot with the CD to install Windows. Any problems or questions, come back here and ask, I'll try to help.