For SF2, all the config files, logs and save games are stored in windows default folder for user's documents.
Usually (and depending on windows version) it is
1. To edit the file, right click on "config.xml" and choose 'edit' in order to open this text file in the default text editor.
(Don't double click as it would be opened in your browser then)
2. config.xml is for SW and DS; for FiD and DotP it's config_fid.xml res. config_dotp.xml