In order to be able to do something with the computer when power is applied, things are arranged so that the processor begins execution from the system's firmware. The firmware is "unmovable software" found in ROM memory; some companies call it BIOS (Basic Input-Output System) to underline its software role, some call it PROM or "flash" to stress on its hardware implementation, while someone else calls it "console" to focus on user interaction.
The firmware usually checks that the hardware is correctly working, and retrieves part (or all) of the kernel from a storage medium and executes it. This first part of the kernel must load the rest of itself and initialize the whole system. I won't deal with firmware issues here, but only with kernel code, whose source is distributed along with Linux.