Firstly, have a read of KB322241 for the official "how to" of logon scripts, including the correct place to put a logon script in a GPO. I am of the opinion that you should be using GPO logon scripts rather than the NETLOGON share because they give additional flexibility and reduced admin overhead; others prefer NETLOGON for reasons of their own, but let's start with GPO.
Follow the steps in the article I linked, making sure that you pay particular attention to getting the location right. The "Show Files" button is very handy here.
You're creating a user logon script, so ignore everything under Computer Configuration and go to User Configuration instead.
Make sure you assign the logon script to a GPO which is linked to an OU which actually has users in it, otherwise it won't be applied. Default Domain Policy is OK for testing, but when you do it for real you probably won't want to put one there.
You should then use the Modelling or Results Wizard in the Group Policy Management Console to determine what policies are being applied to a given PC for a given user.