Welcome to the community.
Pro Tools SE doesn't require an iLok USB key, but is wrapped (protected) with iLok software. IIRC, you'll need to download/install the version of
License Support for your OS. Which version do you have installed?
Also, note that we only qualified Pro Tools SE up through Windows 7 (
more info). Doesn't mean it won't work in Win8 but that's an unknown.