Didn't geting the point how to create file.py and where to create?

Which type of file should we create and where??? He cretaed a file but didn’t tell which type of file? where to create? I’m a beginner and learning from scratch, not able to figure this small thing.

Create a file with the extension as .py, as in the video it was named hello.py
you can store it anywhere you would like in your computer as long as the path has been in the environment variables