Hi,
in most cases, the JoomSEF installer will create an .htaccess file itself.
Just in case when that is not possible (e.g. because of permission settings), you may need to do this manually.
In that case, all what you need to do is:
- Rename the htaccess.txt file that is preinstalled in your Joomla site root to .htaccess (rename or copy)
- Edit it and uncomment the necessary lines (this applies to Joomla 1.0.x, in 1.5.x the lines should be already uncommented); anyway read and follow the instructions in the file self