It should be in the folder C3C is installed into. I don't have it yet but original ini file was in Civ3 folder, PTW ini in PTW expansion subfolder, I guess C3C creates it's own subfolder - maybe some Conquests owner can verify that?
If the file doesn't exist there, simply create one (it's the plain text file), name it appropriately - again I don't know how it should be named for C3C expansion but somebody else could help you here, add settings, save it and run the game.