No, you don't have to install anything, just switch it on. You will first have to complete the Windows update (region, language, etc.) but that's all, after that's done you'll have a fully working system!
Always assuming you bought Windows 10 with your order of course.....
Edit: I mean Windows setup......though you should run Windows update once you're up and running.
They will be spare cables that have come with your system that weren't required in the build of your system. They can be used with any future upgrades of the system.
The cables that look a bit like this:
are spares/extra cables for the power supply.
The ones with 6 pins + 2 pins extra as above with PCIe written on them would usually be used for graphics cards, for instance if you ever added an additional graphics card, or a replacement graphics card that needed more than the ones currently plugged in.
Needless to say, your PC will have shipped with all the cables it currently needs plugged in.