Im trying to setup a server for the first time. Do I need to install oxide to install plugins and if so where do I get oxide from?

Yes or another framework that runs above rust.
I usually get it from here https://github.com/OxideMod/Oxide.Rust/releases

Edit: The docs says you should download it for your specific game from here: https://umod.org/games

The Games tab at the top of our site lists the downloads available for each game we support. Those links pull from our GitHub releases, but I'd recommend grabbing it through our site as the GitHub repos will be changing.