I found one from another user's post that included his project, and included that in my new example project, so I think I'm all set. But in case anyone is listening from Cypress, the file was missing after I did a fresh install today of the whole toolchain, so others may run into this issue as well.
Welcome in the forum, Adrian!
The .cydwr file is generated automatically when a new project is created. Access rights, network drives or a bad installation of Creator may cause an error as you told us.
Please verify by creating a new project on your local drive. When that does not work, de-install Creator, download latest version from Cypress and re-install it again in the defaulted path.