AWS uses public/private keys to securely connect to your instances. The public key will be retained by AWS, whereas the private key is downloaded to your computer as soon as it is created.

From EC2 dashboard, click on Key Pairs from the navigation pane and then on the Create Key Pair button.

You will be prompted with a dialog box asking to enter Key pair name as shown. This key pair name will be later used while configuring the EC2 instances.

Make sure that you select the correct AWS region from the EC2 dashboard to create the keys because key pairs can't be shared across regions.

As soon as you create the key pair, your private key will be immediately downloaded to your computer. Secure this private key. This private key file can be only downloaded once during creation of the keys. You cannot change access keys in your EC2 instances once they have been assigned.