I have a third-party development board which has STM32F407VGT6 Microcontroller. I am trying to create a new project and while selecting the software components, Under device startup component is missing. I have selected the MCU as target for this project.

STM32CubeMX is the solution to generate the initialization code for these devices:

https://www.st.com/en/development-tools/stm32cubemx.html

Why do you not wish to use this?

Otherwise you would need to create your initialization code manually. You can use default examples such as that for ARMCM4 as a reference.

I fully agree with Ronan. You have most likely selected the latest version 3.0.0 of the Keil::STM32F4xx_DFP. With this version, it is mandatory to generate the startup code with CubeMX. You could use the previous version 2.17.1 of this pack where the startup code is still included. Since setting up the clock tree and initializing all other peripherals is a lot of work, I don't know why you would not like to use CubeMX.