Thank you for the concise answer, Maide. The official documentation made no mention of having to create the file and folder.
I implemented your instructions yesterday and got continuous timeouts when I tried to join my server from another computer/account. Running a version of my game without the Steam Sockets plugin worked flawlessly, however, leaving me in a state of miserable distress.
But I tried again today and managed to get into the game! I don’t know why it suddenly works now…
I’ll mark this is answered. Thank you very much for your help!