It's not a good idea to add this kind of thing directly to your $env:WINDIR PowerShell folders, unless you truly want your alias to be global.
The recommended way is to add it to your personal profile:

cd $env:USERPROFILE\Documents
md WindowsPowerShell -ErrorAction SilentlyContinue
cd WindowsPowerShell
New-Item Microsoft.PowerShell_profile.ps1 -ItemType "file" -ErrorAction SilentlyContinue
powershell_ise.exe .\Microsoft.PowerShell_profile.ps1

Now add your alias to the Microsoft.PowerShell_profile.ps1 file that is now opened:

function Do-ActualThing {
    # Do the actual thing
}

Set-Alias MyAlias Do-ActualThing

Then save it, and refresh the current session with:

. $profile

Note: Just in case, if you get permission issue like

CategoryInfo : SecurityError: (:) [], PSSecurityException + FullyQualifiedErrorId : UnauthorizedAccess

Try the below command and refresh the session again.

Set-ExecutionPolicy -ExecutionPolicy RemoteSigned -Scope CurrentUser

From the post How to create permanent PowerShell Aliases, I quote the excellent answer by Naigel :

It's possible to store in a profile.ps1 file any PowerShell code to be executed each time PowerShell starts. There are at least 6 different paths where to store the code depending on which user has to execute it. We will consider only 2 of them: the "all users" and the "only your user" paths (follow the previous link for further options).

To answer your question, you only have to create a profile.ps1 file containing the code you want to be executed, that is:

New-Alias Goto Set-Location

and save it in the proper path:

• "$Home\Documents" (usually C:\Users\<yourname>\Documents): only your user will execute the code. This is the recommended location You can quickly find your profile location by running echo $profile in PowerShell
• $PsHome (C:\Windows\System32\WindowsPowerShell\v1.0): every user will execute this code

IMPORTANT: remember you need to restart your PowerShell instances to apply the changes.

TIPS

• If both paths contain a profile.ps1 file, the all-users one is executed first, then the user-specific one. This means the user-specific commands will overwrite variables in case of duplicates or conflicts.

• Always put the code in the user-specific profile if there is no need to extend its execution to every user. This is safer because you don't pollute other users' space (usually, you don't want to do that).

• Another advantage is that you don't need administrator rights to add the file to your user-space (you do for anything in C:\Windows\System32).

• If you really need to execute the profile code for every user, mind that the $PsHome path is different for 32bit and 64bit instances of PowerShell. You should consider both environments if you want to always execute the profile code.

  The paths are:

• C:\Windows\System32\WindowsPowerShell\v1.0 for the 64bit environment

• C:\Windows\SysWow64\WindowsPowerShell\v1.0 for the 32bit one (Yeah I know, the folder naming is counter-intuitive, but it's correct).