Properties.Settings.Default.Save(); -> Where is that file

On My Windows XP machine, the settings are saved in a file called user.config somewhere under either C:\Documents and Settings\<UserName>\Application Data\ or C:\Documents and Settings\<UserName>\Local Settings\Application Data\

Update:

On Windows Vista and later, the locations have changed to C:\Users\<UserName>\AppData\Roaming\ and C:\Users\<UserName>\AppData\Local\

This depends on what SettingsProvider you are using. By default, this is the LocalFileSettingsProvider

Quoting from that page:

Application-scoped settings and the default user-scoped settings are stored in a file named application.exe.config, which is created in the same directory as the executable file. Application configuration settings are read-only. Specific user data is stored in a file named user.config, stored under the user's home directory.

They may also go to the %APPDATA%

On my Windows 7 machine, it's saved in:

Users\\AppData\Local\MyCompanyName\MyExeName\1.0.0.0\user.config

Replace MyCompanyName with something specific to you, and replace MyExeName with the name of your Exe. Mine is followed by a lot of random characters.

This threw me, too. I'm glad I'm not the only one. :) I hope this helps!