I guess you're trying to make a custom texture? To make a .vmt, open your .vtf (with VTFEdit) and click Tools > Create VMT File and then apply the correct settings in the texture and options tabs. It all depends on what kind of texture you're creating, really.
When it creates the .vmt file, it goes into the same directory as your .vtf file (I think?)
You really should tell us more about what you are trying to do and how you are trying to accomplish it. Also, which version of VMTEdit do you use? I've heard bad things about some later versions of it that flat out don't work.