Generally your .htaccess file would be in your web root (the bottom most directory which can be accessed from the web).
Files that start with a . are marked as "hidden" so you'll need to make sure that you have an FTP client that is capable of listing "hidden files".
Generally most hosts include a basic .htaccess file, if one is not presant, just save your input to a file (any name will do) and upload it to your webspace, and rename it to .htaccess.
The reason I say to rename the file on the server is because Windows does not like files that start with a .
Also, use of .htaccess files only work for Apache webservers.
