If you want a new dataspace, you can use the CREATE TABLESPACE ... DATAFILE statement as shown in the following script:

SQL> CREATE TABLESPACE my_space

2 DATAFILE '/temp/my_space.dbf' SIZE 10M;

Tablespace created.

SQL> SELECT TABLESPACE_NAME, STATUS, CONTENTS

2 FROM USER_TABLESPACES;

TABLESPACE_NAME STATUS  CONTENTS

---------------- --------------- ---------

SYSTEM   ONLINE  PERMANENT

UNDO   ONLINE  UNDO

SYSAUX   ONLINE  PERMANENT

TEMP   ONLINE  TEMPORARY

USERS  ONLINE  PERMANENT

MY_SPACE  ONLINE  PERMANENT

SQL> SELECT TABLESPACE_NAME, FILE_NAME, BYTES

2 FROM DBA_DATA_FILES;

TABLESPACE_NAME FILE_NAME     BYTES

--------------- -------------------------------- ---------

USERS   ORACLEXEORADATAXEUSERS.DBF 104857600

SYSAUX  ORACLEXEORADATAXESYSAUX.DBF 461373440

UNDO  ORACLEXEORADATAXEUNDO.DBF  94371840

SYSTEM  ORACLEXEORADATAXESYSTEM.DBF 356515840

MY_SPACE  TEMPMY_SPACE.DBF   10485760

So one statement created two structures: a tablespace and a data file. If you check your file system with Windows file explorer, you will see the data file is located