Sorry, I wasnt sufficiently explain it. That option list will grow if you plug in a USB CD unit or a USB Memory Stick/flash drive or whatever. It won;t properly work if there is no bootable system on whichever you plug in.
Use Windows to download your Linux choice - Mint is good in my storage PC and Kali works nicely on my mobile phone but pick your own choice.
Also download Rufus and follow the instructions to create a bootable drive. When the BIOS sniffs a bootable device, it will offer it as an option. That way you get to keep Windows 10 - you paid for it in the price of the device - and can run Linux from a Live CD or the stick.
You also have the choice to bin Windows and install Linux as the only Operating System.