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Generally speaking, Dell will not supply a Windows DVD unless you order and pay a little extra for it at the time you order your new computer.
The first thing you need to do is create a set of recovery discs before you do anything else, as they will get your computer back to its factory state should you need to.
Create your recovery discs as per JDobbsy's link, and then if you want to get rid of Dell's bloatware and clean install Windows 7, you can do so as this link explains. Clean Reinstall - Factory OEM Windows 7