In theory, you should be able to connect your Xbox One controller simply by pressing the power button, and then pressing the circular connection button on the top of the controller next to the Micro USB port. The controller's power light should flash quicker, and then "Xbox Wireless Controller" should appear in the list of devices to connect to on the "Bluetooth and other devices Settings" page.
However in our testing we struggled to get the PC to find the controller. There is a workaround — hit the + symbol next to "Add Bluetooth or other device" on the "Bluetooth and over devices Settings" page. From the screen that appears select "Bluetooth". The Xbox One controller should hopefully appear in the list after a few seconds — choose to pair to it. You will know if you were successful if the Xbox One controller power light goes solid.
You may need to update or configure the controller — skip ahead to Set Up Your Controller Via The Xbox Accessories App.