The boot loader is a piece of software embedded in the Arduino; it looks for certain commands after a reset that indicate that you're doing an upload.
If the led does not flash (3 times ?) in quick succession, there is no boot loader on the board. Usually Arduinos come with the blink sketch uploaded as well; do you get the usual blink effect (one second on / one second off) pattern?
You have an Arduino Micro that you can probably use as a programmer to burn the boot loader; I've never done that (I have a dedicated programmer) so can't quite advise there. I suggest that you google around a bit; or wait for the more knowledgeable people here to climb in.