How to activate my new iPhone 14 Pro?

I’m.pretty sure that when you set up your iPhone, starting from the Hello screen, it will walk you through things including setting your Apple ID. You only need a WiFi Internet connection for this.

As far as activating cellular phone and data service, you will need.to do that with a phone company (carrier).

Set up your iPhone or iPad - Apple Support

Turn on and set up iPhone - Apple Support