So it seems to boot directly to Windows.
No, it does not directly boot to Windows 8.
If you shut down your computer properly (no standby), it should boot like any other computer before, including performing a power-on self-test (POST). The only difference is, that UEFI machines can perform this whole process much faster.
Branding = Confusion
A source of confusion may be branding, because computers that come with UEFI and a preinstalled copy of Windows 8 have a consistent branding during boot, which means that these machines just display one high-resolution splash image, where there would have previously been several pixelated or blurry images until the Windows boot splash appeared.
Manufacturers today use branding to blend in the device pre-boot sequence with the Windows 8 boot process. Correct, the memorable boot splash has been mostly replaced by branding, but you can still identify that the Windows 8 boot process has taken over when the spinning dots appear:
Here is a post by Hans de Goede explaining steps required to achieve flickerfree boot on Fedora
Entering the firmware settings menu, aka BIOS
So to be clear: there still is something like the "BIOS". It may look very fancy on some models, but it's still the same and can be accessed by pressing a certain key during the boot sequence. Unless you are using a Chromebook or any other device that deliberately is not compatible to PC clone standards and does not ship with a firmware settings menu.
You should consult the manual for your device to find the right key. Even when the manual is on poor technical and more lifestyle level, you may still find a section with instructions for how to boot from external media. It's usually F12, but it can also be a proprietary button like the Novo button which is placed next to the power connector on some models.
In case you may find that accessing the menu with the key is still too hard or unreliable, even while spamming the key the whole time after pressing the power button – you have to press the button in the right timeframe – there is another option by telling the operating system or boot loader (GRUB, rEFInd, gummiboot) to boot into the firmware settings menu.
From within Windows 8
It's possible from within Windows 8/8.1, have a look at the Windows Startup Settings article on the Windows site for more details.
