This issue occurs on the "Configuring Web Applications: The hello2 Example" page at http://docs.oracle.com/javaee/6/tutorial/doc/bnaeo.html. This is under the "Setting Context and Initialization Parameters" contents item. The sequencing is wrong for the "To Add a Context Parameter Using NetBeans IDE" section relative to "To Create a web.xml File Using NetBeans IDE". At this point in the tutorial, no web.xml file has been created and the tutorial specifically points out that hello2 does not need one to run out of the box. In that context, the web.xml file needs created first so that section should come prior to adding the context parameter.
In the current situation, you have to click the link within the "To Add a Context Parameter Using NetBeans IDE" section that goes to the "To Create a web.xml File Using NetBeans IDE" section which takes you away from the sequence of tutorial steps.