Of course it's going to say that, because you have to actually run something like a Windows' set up DVD to make a bootable drive.
Step 1 is to make a blank file that represents the c-drive, this is where your emulated OS will go. Blank drives don't count as bootable however so will give that error message even on a normal computer, not just in a VM. For example if you put a PC together yourself and put a blank hard-drive in there, you'll get the no bootable media error since it can't find a disk with an OS on it.
Step 2 is to mount that file as C-drive and mount your DVD or ISO image as the D-drive, then tell it that D-Drive is what you want to boot from. This step can take some fiddling, there will be options or different methods for how to mount the OS installer disk.
Step 3 is start the VM now, and it'll load whichever OS installer you mounted in Step 2. Then you'll get the normal install windows stuff. After that, you unmount the install disk and set the c-drive as the one to boot from, and you can run your new OS inside the VM. I really recommend starting with an older version of Windows however and not Linux for this, at least the first time. There may be Linux-specific issues that you get stumped with so getting to grips with doing Windows installs first at least means you'll know what's a VM issue and what's a specifically Linux issue.