Part 0 of the Tutorial directs the user to use the Getting Started Assistant, but it appears to have been deprecated.
So I've used Toolchain Manager instead.
Part 1 of the Tutorial says to set these environment variables as follows:
setx -m ZEPHYR_TOOLCHAIN_VARIANT "gnuarmemb"
setx -m GNUARMEMB_TOOLCHAIN_PATH c:\gnuarmemb
But I don't have a c:\gnuarmemb directory (Toolchain Manager didn't create one) so I assume there is some other default values I should use.