I am trying to install Proof General (A generic Emacs interface for proof assistants), and it's saying add some lines in your
.emacs file but I am not able to find
.emacs file on my system.
As @steeldriver already mentioned, the
.emacs config file usually resides in your home directory. See also The Emacs Initialization File.
If you need to start with a blank
touch ~/.emacs and then open it with your editor of choice (that I'm guessing is not Emacs) to add the requested lines.
And if you have further questions on emacs, Emacs Stack Exchange is probably the best place to ask.