Hi Ray_Unreal,
To answer your question directly, you should create a folder in your games’ Config folder named “Windows”, and create a file in that folder named “WindowsEngine.ini”. Example /MyGame/Config/Windows/WindowsEngine.ini.
For more context, when your game is cooked (or run in the editor), it combines the configurations from many Engine ini files into one (and does the same for Game, Editor, etc ini files). Your DefaultEngine.ini will be combined with values in your WindowsEngine.ini, but only for Windows builds. If you have Mac, Linux, or any other platform, it will not get the values that are defined in your WindowsEngine.ini file.
It’s ideal to keep your Steam configuration in the Windows/Mac/Linux Engine inis, in case you ever need to bring your game to another platform, like Xbox One, PS4, or the Nintendo Switch, for example, as you won’t be using Steam on those platforms.
Let me know if you have any more questions about this, maybe I’ll be able to help!