It appears that Unreal 5.3 cannot/won't create a .sln or any of the other project files you expect when you create a class following the course unless you have VS Build Tool 2022 installed. This is not super clear, and you will have to dig into a log file to see that it is unhappy. If you run into this issue, simply download and install them.
From Rider:
Rider doesn’t need Visual Studio, but it needs the Microsoft C++ compiler. The compiler is installed with Visual Studio. but it can also be installed separately from the Build Tools for Visual Studio https://visualstudio.microsoft.com/downloads/...
Note that using MS Build Tools for commercial products requires a valid Visual Studio license.```
When installing them, check the box shown in the discussion for https://rider-support.jetbrains.com/hc/en-us/community/posts/5290088619026-Rider-for-Unreal-Engine-without-installing-Visual-Studio