It's nothing more than a text file, create it by opening notepad (NOT wordpad, NOT MS Word, NOTEPAD!) type all the console commands you want operating at run (typically binds, skin changes, and color changes. Name changes stopped working in 1.09.4) Then leave an extra space. Go to Save As, find your SRB2 Directory, on the filetype select "all files" and as the filename enter autoexec.cfg.