I’m working under Windows and have no idea what ~/.gnus.el means.
The ~/ means the home directory where Gnus and Emacs look for the configuration files. However, you don’t really need to know what this means, it suffices that Emacs knows what it means :-) You can type C-x C-f ~/.gnus.el RET (yes, with the forward slash, even on Windows), and Emacs will open the right file for you. (It will most likely be new, and thus empty.) However, I’d discourage you from doing so, since the directory Emacs chooses will most certainly not be what you want, so let’s do it the correct way. The first thing you’ve got to do is to create a suitable directory (no blanks in names please), e.g., c:\myhome. Then you must set the environment variable HOME to this directory. To do this under Windows 9x or Me include the line
SET HOME=C:\myhome
in your autoexec.bat and reboot. Under NT, 2000 and XP, hit Winkey+Pause/Break to enter system options (if it doesn’t work, go to Control Panel -> System -> Advanced). There you’ll find the possibility to set environment variables. Create a new one with name HOME and value C:\myhome. Rebooting is not necessary.
Now to create ~/.gnus.el, say C-x C-f ~/.gnus.el RET C-x C-s. in Emacs.