Edit: looks like it's a digital only thing:
When you buy an Xbox Play Anywhere digital game through the Xbox Store or the Windows Store, it’s yours to play on both Xbox One and Windows 10 PC at no additional cost. To take advantage of Xbox Play Anywhere, you will need to have installed the Windows 10 Anniversary Edition update on your PC, as well as the latest update on your Xbox One console. Then, simply log into your Xbox Live/Microsoft account and your Xbox Play Anywhere games will be available to download.
Edited by Eorzean - 6/16/16 at 3:44pm