You start with creating a Kinesis data stream.
Navigate to the Kinesis Console
If displayed, up press Get Started in the service welcome dialog
Select Create data stream to navigate to the Amazon Kinesis Data Stream service:
streaming-analytics-workshop as Kinesis stream name
8 as the Number of shards
Select Create Kinesis stream at the bottom of the page
After a few moments, the data stream should have been created successfully and be in an Active state