Sorry mate, it's hard to know what you don't know until you know it
You need to load that blink sketch onto it yourself via your laptop.
Open the sketch in the IDE (arduino program).
Select your board type and com port from the tools menu.
The arrow button will compile the sketch (code) and upload it to the board. You can see if there was a problem in the log at the bottom.
Then play with the values and get a feel for the "setup" and "loop" concepts.
Then you can add an LED and resistor from your kit (you'll insta-kill the LED without a resistor). To calculate the resistor value:
http://ledcalc.com/ you'll need about 270ohms (red-purple-brown+gold/silver) hook em up on the breadboard (push the legs of the LED and resistor into the holes of the breadboard paying attention to it's internal connections - use the hookup wires to connect that to an appropriate pins on the arduino) Be sure the LED is around the right way or it wont light up (wont hurt it though to be backwards) and configure the sketch to use the different pin.
NB there are so many important concepts I've glossed over or skipped completely for brevities sake so do yourself a favour and read through the docs above first.