Planeswalker cards are shuffled into your deck at the start of the game, just like any other card. You can cast a Planeswalker during either main phase of your turn (or any other time you could cast a sorcery spell). A Planeswalker is a permanent, so when a Planeswalker spell you control resolves, it enters the battlefield under your control. (Note that Planeswalkers are not creatures.)

Anatomy of a Planeswalker Card

Planeswalker cards differ from most other cards. Taking a look at a card, you'll see: