You can create a rule simple as an empty text ".drl" file, or use the wizard to do so. The wizard menu can be invoked by Control+N, or choosing it from the toolbar (there will be a menu with the JBoss Drools icon).
The wizard will ask for some basic options for generating a rule resource. These are just hints, you can change your mind later !. In terms of location, typically you would create a top level /rules directory to store your rules if you are creating a rule project, and store it in a suitably named subdirectory. The package name is mandatory, and is similar to a package name in Java (ie. its a namespace that groups like rules together).
This result of this wizard is to generate a rule skeleton to work from. As with all wizards, they are candy: you don't have to use them if you don't want !