When I try to change the format of my permalinks it says this

If your .htaccess file were writable, we could do this automatically, but it isn’t so these are the mod_rewrite rules you should have in your .htaccess file. Click in the field and press CTRL + a to select all.

But the problem is when I look on my server I dont see an .htaccess file at all. So what do I do?