How do you create it?

If you treat an XSD document as a normal XML document that your create
or manipulate with APIs like XmlTextWriter or the DOM/XmlDocument then
you can create comments as usual, for XmlTextWriter you can use WriteComment
<http://msdn.microsoft.com/library/default.asp?url=/library/en-us/cpref/html/frlr
fSystemXmlXmlTextWriterClassWriteCommentTopic.asp>
for the DOM you can use CreateComment
<http://msdn.microsoft.com/library/default.asp?url=/library/en-us/cpref/html/frlr
fSystemXmlXmlDocumentClassCreateCommentTopic.asp>

If you are using the Schema Object Model (SOM) then as far as I am
currently aware there are no ways in .NET to have top level comments
created, however you should be able to include comments in the
documentation e.g. the following code snippet

    XmlSchema xmlSchema = new XmlSchema();
    XmlSchemaAnnotation annotation = new XmlSchemaAnnotation();
    XmlSchemaDocumentation documentation = new XmlSchemaDocumentation();
    XmlDocument helperDocument = new XmlDocument();
    XmlComment comment = helperDocument.CreateComment(
"Schema comment 1");
    documentation.Markup = new XmlNode[1] { comment };
    annotation.Items.Add(documentation);
    xmlSchema.Items.Add(annotation);

    xmlSchema.Compile(new ValidationEventHandler(ValidationHandler));

    xmlSchema.Write(Console.Out);

yields the schema

<xs:schema xmlns:xs="http://www.w3.org/2001/XMLSchema">
  <xs:annotation>
    <xs:documentation>
      <!--Schema comment 1-->
    </xs:documentation>
  </xs:annotation>
</xs:schema>