I downloaded the .zip file, from which I extracted caddy.exe. When running it, it immediately shuts down with the following error message:
$ ./caddy
2017/04/17 17:35:34 The filename, directory name, or volume label syntax is incorrect.
I try create empty folder Caddyfile,
`2017/04/17 17:37:20 read Caddyfile: The handle is invalid.
Caddyfile is an actual file. You can create the file then reference the file in the startup or if the file exists at the root of the path where you are calling ./caddy.exe then caddy will by default use the file at the root. Check out the documentation for the creating and see all the directives you can use at CaddyFile documentation.
This is a bug in 0.9.5 which has been fixed and will be in next release - due on Thursday.
As a workaround you can simply create a empty Caddyfile (or a full one) in the same dir as the caddy binary