Same here, on Windows 10 Pro with Anniversary Update.
When creating a new design, there are no templates offered like the mac version.
The Windows 10 version of XD doesn't have a Welcome screen (yet), so you will want to create your artboards manually in the document before adding any artwork or prototyping. Select the Artboard tool (below the Text tool), and you will see a scrollable list of preset artboard sizes on the right hand size that you can use. Click on one of the presets and it will place that artboard on the canvas.