Is it per-user data or per-machine data? For per-user data I use C:\Users\<user>\AppData\Roaming and for per-machine data I use C:\ProgramData.
These folders can be accessed using the Environment.SpecialFolder enumeration so you don't even need to know where they are in your app.
Alternatively you can use the "Settings" feature in VS2008 which will store your settings in an XML file for you, that you can retrieve using the Settings static class.
Finally, you can store your configuration items in the registry under HKCU\Software or HKLM\Software depending on whether per-user or per-machine data.
Cheers,
Andrew