Who is the domain registrar? Where do I go?

You should already have a domain name before you can set it up with iCloud. Your domain name is the part after the @ symbol in your email address.

The domain registrar is whoever you are paying for that domain name to exist and be used by you.

For example if your email address is yourname@yourcompany.com. Whoever you are paying to host the "yourcompany.com". domain is your registrar. Places like GoDaddy, Squarespace, web.com, they all act as Domain registrars that host your domain name, in most cases along with your website and you pay them for it.

You need to go to whoever holds that name for you to make the configuration changes.