Please help with location of .emacs file and .emacs.d folder location

[patrol]

Hi,
I'm new to emacs, and my operating system is Win XP. I want to install
a bundle, but I'm getting stuck in terms of creating an .emacs file
and .emacs.d folder. They don't seem to exist after the install, and
I'm not sure where to put them myself. I've had a look at the Windows
FAQ section under "Where do I put my init file" and tried the steps as
suggested:

"If the environment variable HOME is set, use the directory it
indicates."
I looked under environmental variables in system properties, and the
variable HOME didn't exist.

"If the registry entry HKCU\SOFTWARE\GNU\Emacs\HOME is set, use the
directory it indicates."
I looked in the registry editor, and the key GNU doesn't exist.

"If the registry entry HKLM\SOFTWARE\GNU\Emacs\HOME is set, use the
directory it indicates. Not recommended, as it results in users
sharing the same HOME directory."
I didn't look here because it says 'not recommended'.

"If C:\.emacs exists, then use C:/. This is for backward
compatibility, as previous versions defaulted to C:/ if HOME was not
set."
.emacs (or _emacs) doesn't exist in the C: root.

"Use the user's AppData directory, usually a directory called
Application Data under the user's profile directory, the location of
which varies according to Windows version and whether the computer is
part of a domain."
I'm not sure about this. Should I just create a new folder
named .emacs.d in this directory? And should I just create a plain
text file .emacs in the directory as well?

Any help would be appreciated on this.
Thanks