To set up a runtime go ahead to the runtime and select new as shown below and select integration runtime set up.
once you select the self hosted , this will give you two options to install it
once you download and install integration runtime , it prompts us for an authentication key
if you chose option 2 , you can put in the authentication key
you do have to upgrade the .net version else it will complain.
once the key is put in , you can register the integration runtime and this will register the runtime to your cloud account.
the status should say running and you have just completed setting up a self hosted runtime