Ah, I had completely forgotten about that little trap. What's a trap? Dig a big hole in the forest, cover it with some thin cloth or mesh, spread leaves and twigs over it, big animal walks across, falls into the hole, you have now captured a big animal with very little danger and effort. Works great in cartoons (like road runner versus coyote).
Here the trap is that a newly installed FreeBSD system does not have the pkg tool installed. The pkg tool is itself a package, which can be installed and upgraded by pkg, so how do you solve this "chicken and egg problem"? A new install comes with a small program, called pkg-static, which has fundamentally one purpose: To install the real pkg. It is peg-static you are interacting with right now.
Look at the man page for pkg-static (same as pkg), try running it with a single -v option, or the -d option, and see what happens. Or run it without any options/arguments, or with -h to get help.