You are supposed to have pre-downloaded Windows Server Installation ISO image.
You can download Evaluation Windows Server from here: https://www.microsoft.com/en-us/evalcenter/evaluate-windows-server-technical-preview
For this example I’ve chosen Windows Server 2016 Technical Preview 5.
Note: Do not try to use 64-bit installation on 32-bit workstation. It won’t work.
After you specify the file click “Next”.
Read the whole thing.