Easy mistake if you're new to Linux. Any file with a '.' in front of it, like .config is automatically a hidden file. To locate (assuming you're using the command line), you can use 'ls -A' or 'ls -a' (the second one shows you current and parent directories also.) The .config should be in the directory you have your source in, the one you were in when you used 'make menuconfig'
If you're using a GUI file browser, you'll need to select the option to show hidden files. If you've never noticed this before, you may also want to use 'ls -A' in your /home/username directory, and see all the good stuff you've been missing. Most of your user-specific options are here, for applications and system preferences. '.bash_profile', '.bashrc' can be helpful to know, especially if you want your command line to look and feel a certain way, or certain things to happen when you log in.
Hope this helps,
scott_R
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