If you don't have any screws, this set can help you:
Delock mounting set 31 pieces for M.2 SSD / module

There should have been a bag of screws with your motherboard or with your computer. Some builder put the screws into the mounting holes. Otherwise you'll have to buy an M2x4mm. Check your motherboard documentation for the correct size as there is no standard at the moment.

Check the motherboard manual. There should be no screw necessary.