.htaccess missing from Installation?

I did an install of the Wordpress MU and I followed the instructions under the NETWORK tab of the WordPress Admin to change the wp-config.php file and I created the blogs.dir for MU, but when I went to change the "Add the following to your .htaccess file" section I couldn't find a .htacess file in the WordPress install? I'm using FileZilla and I've scoured all through the WordPress install and I can't find it anywhere.

What do I do now to finish the installation, so that I can move forward to the next step?

Thanks.