Depends on the version of LV you are using.
If you are using LV 7.x, you need to create a config file called "viname.vi.config" and put it in the same directory as the VI. However, you must start the application via this VI.
If you are using LV 8.x, it's easier - create a LV project and save it. The directory that contains the .lvproj file becomes your appbase for the .NET code and the myprojectname.lvproj.config becomes your config file.