You have a couple options. It sounds like your character is already placed on the map before you hit Play. In that case, perhaps the easiest option is to select the character on the map and in the Details panel set its Pawn > Auto Possess Player parameter to “Player 0”. You’ll also want to set its Input > Auto Receive Input parameter to “Player 0” as well.
The above is a perfectly legitimate way to do this. But a more standard (although also more complex) approach is delete the character from the map itself and instead create a custom Game Mode configured to spawn the character at runtime (wherever you place a Player Start actor). Full details on this approach are described in this documentation: “Setting Up a Game Mode”