I think so too! I got a refund on something I purchased over a year ago, so I used that money to get this printer and one spool of filament. The filament is the blue spool on top of the printer. It feeds into the extruder and down through the hotend to the nozzle at the bottom where it comes out to lay down layers to make the object being printed.
What kind of filament did you get? I've found that PLA seems to work best with the Ender. The biggest job is getting the bed perfectly flat. Once that's done, it works very well.