System Policies

I am new to system policies. I am trying to implement a policy. Reading the help screens, they say to save the file on the PDC in the NETLOGON folder and name the file NTconfig.pol, then replicate the file to the BDCs. First I see no NETLOGON folder anywhere on the PDC, or BDCs, should I just create one? If these policy files are saved as listed above, are the policies then implemented across the domain when users logon?

Thanks,