Hi Dare,
Thanks for your fast response, on initial installation I select the datadir to be in D:\BITCOIN, when looking there only the following files listed;
blocks (folder)
chainstate (folder)
database (folder)
.lock
db.log
debug.log
peers.dat
wallet.dat
I already set the folder options to show hidden files.
I don't think bitcoin.conf is autogenerated, as bitcoind / Bitcoin-Qt will simply use the default settings unless you tell it otherwise. Just create it as a plain text file in your datadir with the settings you want, and it should work after you restart the client.
The wiki page about it should be useful for reference, but every setting is optional; mine looks like this:
rpcuser=Dare
rpcpassword=<Password goes here, I'm not posting mine :P>
rpcallowip=127.0.0.1
server=1