where is the .conf file? I don't see it in the %appdata% folder anywhere
If you don't see it in your %appdata% directory, then you don't need to save it. It's a file that you can use to configure your wallet in the case you encrypted your wallet. It's used to get around the limitations of Proof of Stake minting with an encrypted wallet. For more details, you can watch this video showing how to create a .conf file with PeerCoin (but it should be similar for all coins).
https://www.youtube.com/watch?v=WnLvE_Vnojc&list=PLBt4zAxcWonnA8-InWGUEw-UZofHdUIeT&index=14Yeah on windows you don't need to have it, but its best to use it to set things like disable IRC, enable DNS seeding etc