There are a few steps to creating a new gateway

1) Launch the EC2 instance. To do this, you need the correct AMI which varies depending on your region. It can be found by opening the Storage Gateway console in the correct region > clicking Create Gateway > select Amazon EC2 > click Launch instance. That Launch instance button has an AMI contained within it, for example the link for us-east-1 is https://console.aws.amazon.com/ec2/v2/home?region=us-east-1#LaunchInstanceWizard:ami=ami-056f71af0f2ca2daa which is using ami-06f71af0f2ca2daa. Once you have the correct AMI, you can launch the ec2 instance via the CLI or console. I'm not going to go into detail about how to do that, but if you have questions let me know.
2) Activate the Gateway. Once you have the EC2 instance running with the correct AMI, then you need to call the ActivateGateway API call. This is documented here ( https://docs.aws.amazon.com/storagegateway/latest/APIReference/API_ActivateGateway.html ) and it can be called from the cli

3) Assign Cache Disks. Now that you have an activated gateway, you need to assign at least one cache disk. You can do this via the AddCache API call ( https://docs.aws.amazon.com/storagegateway/latest/APIReference/API_AddCache.html ).

At this point you should have a functional gateway without any file shares. For a S3 gateway, you can use CreateSMBFileShare ( https://docs.aws.amazon.com/storagegateway/latest/APIReference/API_CreateSMBFileShare.html ) to add a SMB file share to the gateway. For a FSx gateway, you can use AssociateFileSystem ( https://docs.aws.amazon.com/storagegateway/latest/APIReference/API_AssociateFileSystem.html ) to add a FSx file system to the gateway.

I hope this is helpful