Systems purchased from Dell come with Windows and it'll be pre-activated.
If you purchased the system other than from Dell, contact your seller to find out why the system came without the Windows 10 key embedded on the mainboard (Dell does ship systems without Windows to sellers, particularly in locations where laws prohibit it from preloading Windows -- or to sellers trying to buy systems for less money; it also ships systems with Linux rather than Windows in some configuraitons). If that's what happened, you'll need to obtain a license key for Windows from your seller.
If you got this problem at installation stage you can skip this step and try activate operating system after this process has been completed. Maybe at this stage Windows will be not complaining about it.
I'm not trying to reinstall Windows. Just got a brand new laptop from Dell Canada's site. So out of the box Dell did not send a pre-activated version of windows.