Here, PEM refers to the format of a file for a key pair in AWS. To download a key pair, you need to create a key pair. You cannot retrieve it again if the file is deleted.
For creating a key pair, you can do the following:
Log in to AWS, and navigate to EC2
Select Network and security in the navigation pane, and enter key pairs
Select Create Key Pair
Then, select the format of the file (.pem or .ppk)
This will download the files automatically in their respective formats.
If you are looking for an online course to learn AWS, then check out this AWS Certification Training course by Intellipaat.