The settings in the gamebox affect the location of the installation of the games you install through the gamebox. It does not affect where the Gamebox is installed itself. this config file should be with the gamebox executable - wherever you have that installed. In my case, it took the default (it didn't give me any choice and it wasn't worth moving later - although it could have been). Mine is located at C:\Program Files (x86)\Alawar\AlawarGamebox. Note -- Program Files and Program Files (x86) are normally on the C drive, not the E drive.
Note - I said that the Gamebox settings affect the games you install through the Gamebox. That does not necessarily mean you have to DOWNLOAD them through the gamebox. I have noticed an odd situation while re-building my game library. In SOME (not all) cases, I can copy the executable I downloaded before for an Alawar game to the folder where I told it to put the downloads and have the Gamebox think it downloaded it. It shows up in your list of game with "play" beside it. If you click on that "play" button, it will install it -- according to your gamebox settings for where to put the game. Why it only works some times, I have no idea.
For newer games, if it doesn't recognize it, it will put it in C:\Program Files (x86)\Alawar without giving you a chance to change it but you can move it later.
Moving these products will play havoc with the uninstall pointers in the registry but that can be fixed. Unless you plan on using something like Revo Uninstaller, you can just run the uninstall from the final folder location (if you want to remove the game).