Windows do not allow you to create a .env file directly from the windows explorer since it will not allow file names starting with a dot. However, you will be able to create it from VSCode easily. First, open the project folder in VSCode using the menu option File | Open Folder...[Ctrl+K Ctrl+O] as shown in the following screenshot:
Once you have opened the folder, click on the Explorer icon on the top left corner of the VSCode (or press Ctrl+Shift+E) to open the explorer panel. In the explorer panel, click on the New File button as shown in the following screenshot:
Then simply type in the new file name .env ...