Bees rarely find their way into empty beehive boxes, even though they are designed to be a perfect home for them. There are a number of ways of starting a colony and you should read more than this small overview to learn all that is involved.
A small nuc (nucleus) hive can be bought from beekeeping suppliers in most countries (for Australia see: http://www.aussieapiaristsonline.net/bees-for-sale.html). A nuc consists of four or five frames of brood and honey along with a few thousand bees, including a queen bee. You buy these in the Spring, then place them in a standard box with a divider which can be removed as the colony expands.
An alternative to a nuc is to purchase a package of bees. The package consists of several thousand bees and a queen, but does not include frames. In most countries you have to pick up your packaged bees from a supplier, in some places your bees can get posted in the mail. You tip package of bees into your brood or nuc box and nurture them as they build their colony.
A third option is to catch a swarm. For this you need an experienced beekeeper or bee association member who would be happy to set you up with a swarm when they catch one.