Cortana's finally made the leap to the PC in Windows 10, assuming control of the operating system's search functions and dishing out just as much sass as the Windows Phone version. But by default, she doesn't listen for your commands.
If you'd like to be able to just bark commands at your PC, open Cortana by clicking the Search field in the taskbar and selecting the Notebook icon in the left-side options pane. Select 'Settings' from the list, then simply enable the 'Let Cortana respond when you say "Hey Cortana" option'. You'll need an active microphone for this to work, of course.
While you're poking around Cortana's options, you can dive into the Notebook menu to fine-tune exactly what personal data Microsoft's digital assistant can access. Remember, however, that like Google Now, Cortana's effectiveness is directly related to how much she knows about you.