Every wallet on StarkNet is a smart contract, so it has to be deployed on chain.
Deployment of the smart contract is a blockchain transaction, therefore it requires network fee (gas).
To deploy the wallet, you need to top-up your wallet with ETH. You can find out here how to do this.
After you see the assets in your wallet, the smart contract will be deployed within the first outgoing transaction - you can trigger it by sending some amount to your own wallet address.
Depending on the network congestion, deployment might take up to 20 minutes.