_authinfo (on a Windows machine) would usually go into:
%userprofile%\_authinfo
You can save the file in Notepad or another app by naming the file with quotes around it, leaving off the extension. This will override the default ".txt" extension that Notepad might want to add.
The content should be:
configname user your-user-id password your-password
Where "configname" is the configuration name you will use in the SASPy setup.