Is necesary HSM and how create it?

Question

in my work i need sign a application for windows and many websites explain that is necessary for this use an HSM.

I tried search information about this but all information that i have found talks about using HSM as API´s. My questions are the nexts.

1. Is necesary used HSM for this reason?
2. Is possible create a HSM in a usbdrive or a other basic method? I understand that if the answer of the second question is no i will need pay for example AWS CloudHSM, Cloud HSM...