Here, PEM is an abbreviation for AWS key pair file format. You must make the key pair before you begin downloading it. In case this file gets deleted, the key pair can never be retrieved again.
You will find the process to do this as follows:
To access AWS log in; go to EC2, then
Navigate to a navigation pane that has items for Network and security: Enter key pairs: create key pair
Select the file type (.pem or .ppk)
By doing this, the files will download automatically in their correct format.