It sounds like you haven't yet setup iCloud with that account and you need to do that on a Mac or iOS device. Once setup, you can enable iCloud on a PC, but it needs to be setup first.
Which says in part:
You can sign up for iCloud on an iPhone, iPad, or iPod touch with iOS 5 or later, or through System Preferences on a Mac with OS X Lion v10.7.4 or later. Just follow the setup instructions for your iOS device or Mac.