Not everyone has an autoexec.cfg, I don't.

Yet Another Unnamed Player

The distribution doesn't create one for you,
you always have to create it yourself.
It should at least contain a line to set your name ...

Please, plz pls pl0x tell me why I should create one.

You don't have to create one, but it can be very useful if you want to add new features without tampering with the important files, thus mean that if you do something wrong, you can delete your autoexec.cfg file and it will return to normal, without having to scroll through miles of code to correct it.
You can also adjust options to your taste that aren't displayed on the GUI. (In-game menu.)

Just open notepad, type whatever code you need, and save it as "autoexec.cfg"
Make sure you type .cfg at the end, otherwise it will just save as a text file.