Ill load up XSI and find it for you shall I?

EDIT: I don't use XSI but the help file says (for those wondering)
"Nulls
Nulls are simply locations in space that cannot be modeled or rendered. However, they have many uses, such as for setting constraints and organizing objects in hierarchies. Nulls are sometimes called locators or point objects."
It says objects, so I clicked on the 'objects button' and the button that looks like the image in the help file (3 lines crossing in the middile) is the null button! Yay.
To give it a direction I think you use the rotation translation (you can turn on arrow rings to give it the three directions that allow you to see up/left/foward).
Im not exactly sure how it converts to the game since I've never used the probgram before.