I have downloaded pfsense
Which pfSense build? (The name of the file you downloaded will provide that).
installed it and and set up my WAN interface, but it never asked me for LAN interface.
Perhaps you have only one interface recognised by pfSense. (A pfSense 2.1 build will support more interfaces than a 2.0.x build.)
The WAN interface is not getting any ip from DHCP.
What is the WAN interface connected to? Perhaps pfSense needs to talk PPPoE to that device! Perhaps the physical connection is broken. Perhaps …
Please post the output of pfSense shell commands```
/etc/rc.banner
ifconfig