Yes, your control panel is the way you access and control the web space you bought.
Wordpress is indeed just a lot of files: you can't do anything with them until you've 1) uploaded them to a server - in this case, your web space, and 2) linked them to a database, by running the installation process.
It will all make sense eventually, just take it step by step.
Have a word with your host to clarify how to login to your control panel, and have a look here too:
I have bought my wordpress.org hosting and want to move a site i have on wordpress.com onto it. I won my domain already.
I have downloaded wordpress.org onto my hard drive, but when I go to 'open' it it is just a load of files, which when I click on them open up the download wordpress.org web page.
The instructions from my host suggest that I should 'log into my control panel' using their wordpress.org log in (which they have given me). But I don't have a control panel as I have no wordpress.org!!!
I realise I have seriously not 'got' something here, but what do I have to do to make it all make sense???