How do I set my initial passcode to unlock my iPhone SE?

A new iPhone does not come with a passcode already set. If you entered a passcode during the setup process and have forgotten it, see the following: If you forgot the passcode for your iPhone, iPad, or iPod touch, or your device is disabled - Apple Support

If you purchased a used iPhone with a passcode you may want to contact the previous owner and have them do the following: What to do before selling or giving away your iPhone, iPad, or iPod touch - Apple Support

If the phone is Activation Locked there is nothing you can do without the assistance of the previous owner.