Just to expand on what Seymour said, the pedal will come with a 'cleat' that attaches to the shoe. Most pedals meant for road biking use a roughly triangular shaped cleat that attaches with a 3 bolts pattern. But even though they look similar, each brand of pedal uses a unique cleat.

Some road cyclists opt for mountain bike type shoes and pedals as they can be easier to walk in if that is a concern. The most common system is the Shimano SPD for which many other brands make compatible parts. The cleat is small, metal, attaches with 2 bolts and can be recessed into the shoe.

A third option is the Speedplay system for which you need a shoe with a compatible 4 bolt pattern.

Less common for road but still used some is the egg beater type pedal. The cleats attach with the mtb 2 hole pattern but the cleat is different from the SPD one.