Question about Basic Set-up

So I installed VirtualBox and made a basic VM, but I’m unsure how to set it up after starting it.
I always get the “FATAL: NO BOOTABLE MEDIUM FOUND! SYSTEM HALTED.” error. Now I’m assuming I need to download some OS to make it boot properly, but I’m unsure of how exactly to do it.
I’m trying to make it run on kali linux, but I want to hear how others did it before doing it myself.
Any help would be appreciated.
Thanks in advance.

Kali inside VirtualBox (Guest VM) | Kali Linux Documentation

Thank you!