I am new to this. Installation went right. The port and driver software is updated and board is resting on a insulated place. When i tried to execute my first program blink from examples, there is error in uploading. My OS is windows 10.
I wouldn't be too concerned about the LED. You do not know what is pre-loaded on to the micro-controller. Let's focus on why you are unable to load. What is the error?
Post your code and the error message, both between code tags.
Regarding the LED, there's no law that says it must be 'off' when the board powers up. When pin13 is an input, it is floating, and that line goes to the non-inverting input of an LM358, so the LED can be either on or off. It would only be a problem if you made that pin an output, and low, and the LED stayed 'on'.
Edit: On my Mega2560, the LED is lit as you say, and I have to make it output and low to turn it off, but my UNO boards all start up with the LED off. It's the luck of the draw.
As hungrypanda says, the error is more important.