It's a dot file, or rc file...a "readable configuration" file which stores user-specific settings for its associated program. These files generally reside in your home directory, and since they are dotfiles, they are hidden by default. Set your file manager to view hidden files, and it should magically appear. if it does not appear, that probably means that you either have never run the program, or the application loaded up with system-wide settings (probably a file in /etc).
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