The init.el file is used to customise SXEmacs to your tastes. The preferred location for the init file is $XDG_CONFIG_HOME/sxemacs/init.el (see Init File in SXEmacs Lisp Reference Manual).
No two init files are alike, nor are they expected to be alike, but that’s the point. The SXEmacs distribution contains an excellent starter example in the etc/ directory called sample.init.el. Copy this file from there to $XDG_CONFIG_HOME/sxemacs/init.el, then edit it to suit.
You may bring the sample.init.el file into a SXEmacs buffer from the menubar. The menu entry is always under the ‘Samples’ submenu in the ‘Help’ menu. To determine the location of the etc/ directory type the command C-h v data-directory RET.