The reason the tool is not working is because you do not have Windows already installed on the HDD. What happens these days when you buy a pre-built pc/laptop is that your operating system is pre-loaded and one of the first tasks to do is create a backup disk using the manufacturer's software.
The software creates a disk that will re-install Windows for you along with any other software (read bloatware) that the machine came with when you first bought it. If you didn't do that then you will need to do one of two things, the first would be to see if you can download an ISO of the recovery disk from HP or contact them to see if they can send you one. The other option is to buy a copy of Windows from Microsoft or other software retailer.
One thing to bear in mind is that the license key on the side of your machine is an OEM key and WILL NOT work with retail copies of Windows.
The recovery USB/DVD that you have downloaded is for repairing damaged installations, not creating a fresh install