app.config is copied / renamed <assembly name> .config as part of the compilation process and placed in the bin directory. If you are using the Visual Studio installer project (blech!), Then it should also have picked it up and included in the installer, IIRC.
(In response to your comment on both answers)
You cannot use it as "app.config". The .NET configuration system is looking for a configuration file whose name matches the name of the entry. If you rename the file back to "app.config", the configuration classes will stop working.
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