They come with the game when you install them. If you have Vanilla Civ (no expansions), it will be located in C:/Program Files/Infogrames Interactive/Civilization III/, and named Civilization3.ini. If you have Play the World (first expansion), it's located in the PTW folder (.../Civilization III/Civ3PTW/) and named ptw.ini. If you have Conquests (second expansion), it will be in the Conquests folder (.../Civilization III/Conquests), and is named Conquests.ini.
*Note: These are all according to a default install. Also, Infogrames Interactive may be replaced with "Atari".