Yeah. When you open up the command prompt, it will likely already be in your home directory (for example since my user's name is Max, it's C:\Users\Max for me), but if not, you can navigate there by typing "cd C:\Users\Max" or if you name isn't Max, whatever your home directory is. Cd stands for change directory.
Once you're there type "mkdir .solarus" as Alex says. Mkdir stands for make directory.
Just though I'd add in some more details as a windows user.
Let us know if that works out.