There are three possible reasons for this:

1. You have specified Logfile=No in the .cm.ini file.

2. You are looking in the wrong folder.  The log file is created in the same path as the .cm file. 

3. It is there but you cannot see the full name because you are using Windows Explorer with 'Hide entensions for known file types' ticked in your 'File Options'. Why Microsoft choose to make this the default setting I do not know.