As of now, Cortex only runs locally or on AWS. We plan to support other cloud providers in the future. If you don't have an AWS account you can get started with one here.
Follow this tutorial to create an access key. Enable programmatic access for the IAM user, and attach the built-in AdministratorAccess policy to your IAM user. If you'd like to use less privileged credentials once the Cortex cluster has been created, see security.