File that start with dot(.) will give you this error message.
Let say you want to create a .htaccess file in Windows.
Solution # 1
Name the file .htaccess. (note the period after the .htaccess) and the system will automatically get rid of the dot after the .htaccess
Solution # 2
Use dos to create the file echo >.htaccess or edit
Solution # 3
If you have cygwin, you can create it just like you do in linux vi .htaccess or nano .htaccess