The format used by Raspberry Pi is FAT32 (or MS-DOS), not exFAT. If you have an SD card larger than 32GB, make sure it is using the proper format, as anything larger than 32GB defaults to exFAT.

And, as you're going to be installing and using Linux on your Raspberry Pi, it makes good sense to create your SD card from within a Linux environment. It doesn't make the installation any better ...

Boot your Raspberry Pi and you will be presented with a menu offering many different operating systems for installation. Tick the box next to Raspbian and then click Install and wait.