The controller needs to be powered on to pair to the drone. There are two ways you can power on the drone.
Using AAA batteries
On the back of the controller, slide down the battery lid with your thumb and insert two AAA batteries. It is not required, but you can use a screwdriver to bolt down the battery lid.
Using USB power
If you do not have any batteries around, you can power the controller using the USB cable in your box.