Just create it yourself with a text editor (like Notepad if you are on Windows). Make sure it doesn't end in .txt when you save it.
Also, read all of the relevant TXT files -- such as Notes.txt, DSDPlus.txt and any other .txt files. In Notes.txt, search for 'scanlist' to find where it talks about the scanlist files.
Mike
Thanks so much! Is there an example of the format it needs to be in?