I went into that directory and created a new txt file named 'lnd.conf', But I believe the computer saves it as lnd.conf.txt, resulting in this warning.
Download Notepad++ or Sublime Text 3 if you don't want to change
the visibility of known extensions in the explorer settings (renaming the file to
lnd.conf from
lnd.conf.txt will do the trick once you change that setting). As for the Tor connection error, try disabling Windows firewall for a moment. If it works, you will have to add proper exceptions.