To start writing Behat scripts first you need to initialise your project. You just need to run single command to initialise project which is mentioned here:
$ bin/behat --init
After you executed this command "features" directory will be created inside your project, you need to add your features file inside this directory. Inside feature folder you will find bootstrap folder, you need to place your context classes here. Inside bootstrap folder you will find one file FeatureContext.php, you need to create your step definition in FeatureContext.php file.