[README.md] Clarify configuration file may not exist by default

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@@ -424,7 +424,7 @@ which means you can modify it, redistribute it or use it however you like.
 
 # CONFIGURATION
 
-You can configure youtube-dl by placing any supported command line option to a configuration file. On Linux and OS X, the system wide configuration file is located at `/etc/youtube-dl.conf` and the user wide configuration file at `~/.config/youtube-dl/config`. On Windows, the user wide configuration file locations are `%APPDATA%\youtube-dl\config.txt` or `C:\Users\<user name>\youtube-dl.conf`.
+You can configure youtube-dl by placing any supported command line option to a configuration file. On Linux and OS X, the system wide configuration file is located at `/etc/youtube-dl.conf` and the user wide configuration file at `~/.config/youtube-dl/config`. On Windows, the user wide configuration file locations are `%APPDATA%\youtube-dl\config.txt` or `C:\Users\<user name>\youtube-dl.conf`. Note that by default configuration file may not exist so you may need to create it yourself.
 
 For example, with the following configuration file youtube-dl will always extract the audio, not copy the mtime, use a proxy and save all videos under `Movies` directory in your home directory:
 ```