You would create the Lambda function using AWS Lambda. https://aws.amazon.com/lambda/
However, if your goal is to write to S3, you will probably have more luck using the Snowplow S3 Loader: https://docs.snowplowanalytics.com/docs/setup-snowplow-on-aws/setup-destinations/
For future reference, you might find this an interesting read on consuming the Kinesis stream using an AWS Lambda in realtime: Real-time reporting using AWS Lambda and DynamoDB: a tutorial to compute the number of players in a game level on the Snowplow event stream (1/2)