Where it's asking for a surface for the Z axis you'll need to select a work plane as you don't have a flat surface perpendicular to the direction you want. Note, you can pick an axis if you want and the Z will point along the axis. When you pick the work plane I think the direction will be wrong so click the point at the end of the Z gnom pointer to make it point the other way, next pick an X direction then a origin point.

One annoying thing is if you go back to pick a direction for the X it will unpick the origin, you need to work top to bottom with the selections.
Here's a screencast that might help.
Mark
Mark Hughes
Owner, Hughes Tooling
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