Press esc key for startup won't work

[Spudster883]

Hi
I just finished building my pc and when I turn it on it says press esc key for startup mode but it doesn't do anything when i press the esc key after 5 mins or so the screen goes black and a blinking hyphen in the corner how do I fix

 

[hang-the-9]

When you say you "finished" building the PC, did you actually install Windows on the thing or just turned on with nothing on the hard drive?