Creating/writing into a new file in Qt

Are you sure you're in the right directory?
Opening a file without a full path will open it in the current working directory. In most cases this is not what you want. Try changing the first line to

QString filename="c:\\Data.txt" or
QString filename="c:/Data.txt"

and see if the file is created in c:\

That is weird, everything looks fine, are you sure it does not work for you? Because this main surely works for me, so I would look somewhere else for the source of your problem.

#include <QFile>
#include <QTextStream>


int main()
{
    QString filename = "Data.txt";
    QFile file(filename);
    if (file.open(QIODevice::ReadWrite)) {
        QTextStream stream(&file);
        stream << "something" << endl;
    }
}

The code you provided is also almost the same as the one provided in detailed description of QTextStream so I am pretty sure, that the problem is elsewhere :)

Also note, that the file is not called Data but Data.txt and should be created/located in the directory from which the program was run (not necessarily the one where the executable is located).