You can use the management console to create a key pair. ECS stores the public key and you store the private key.
A key pair name consists of two parts: KeyPair and four random digits (KeyPair-xxxx).
This is the only chance for you to save the private key file. Keep it secure. You'll need to provide the key pair name when you create an ECS, and the corresponding private key each time you connect to the ECS through SSH.