Acrockett
I recently had some issues with my config file also. I haven't upgraded to Win10 yet (still using 7) but my config file is located in C:\Users\'YourUserName'\Documents\My Games\Beyond the Sword.
Try loading a game and playing a turn, exit game, and see if the file has been created. Also, I believe there are different .ini files (which contain similar but differing parameters) for vanilla civ vs. warlords vs. bts. So, for the files to be created you may have to start a game under each of the three game versions.
As a side note, I've also noticed that for some reason (perhaps Windows updates or some other reason I can't yet nail down) my config file will change and revert back to default settings from time to time.
If you still have problems I can upload a version of my .ini file--hope helps. Name of the file should be CivilizationIV.ini btw.
