Enable Privileged Identity Management for your directory
You should perform the following steps to enable Privileged Identity Management for your directory:

Sign in to the Azure portal as a global administrator of your directory.

If your organization has more than one directory, select your username in the upper right-hand corner of the Azure portal. Select the directory where you will use Azure AD Privileged Identity Management.

Select All services and use the Filter text box to search for Azure AD Privileged Identity Management.

Select Pin to dashboard and then click Create. The Privileged Identity Management application opens.

Additional reading. For more information, see the following article on how to Assign directory roles to users using Azure AD PIM.
https://docs.microsoft.com/en-us/azure/active-directory/privileged-identity-management/pim-how-to-add-role-to-user

Role activation
To activate a role, an eligible admin requests a time-bound “activation” for the role. The activation can be requested using the Activate my role option in Azure AD Privileged Identity Management. An admin who wants to activate a role needs to initialize Azure AD Privileged Identity Management in the Azure portal.

Role activation is also customizable. In the Privileged Identity Management settings, you can determine the length of the activation and what information the admin needs to provide to activate the role.

Additional reading. For more information, see the following article on How to activate or deactivate roles in Azure AD Privileged Identity Management https://docs.microsoft.com/en-us/azure/active-directory/privileged-identity-management/pim-how-to-activate-role