Which configuration file should I modify for Nginx?

I want to change the configuration of Nginx. Based on this article www.plesk.com/blog/various/nginx-configuration-guide/, I check /etc/nginx/nginx.conf and find the following info:

# DO NOT EDIT THIS FILE. YOUR CHANGES WILL BE OVERWRITTEN ON UPDATE.

Then I check /etc/nginx/conf.d, where I do not find site-specific configuration files, instead, there is a default.conf, and there is another statement said:

#     AUTO-GENERATED CONFIGURATION FILE: ANY MANUAL CHANGES WILL BE LOST      #

So this file should also not be changed. In such a case, how to change the configuration for Nginx?