If someone or something tells you to open a file, and that file doesn't exist, then just create the file. Open an editor, edit away, and save this as a new file, with the appropriate name.
Yes, /etc/profile IS a file, and this is the global setup file if you're using bash. It is one of the places where you can put your JAVA_HOME or whatever variable you want. ~/.bash_profile, ~/.bash_login, and ~/.profile are personal setup files for each individual user.
These setup files are scripts that are run when you're starting your session. If you make changes in one of these files, you'll also have to update the settings. This is simply done by doing
$ source ~/.bash_profile