Program gives error if the configuration file isn't in the same directory

I made a program in VB.Net that acts as a VU meter and it shows the value on a progress bar(it is using My.Settings functions), and then I updated it with some code that is connected with DirectX sound. It works perfectly, but when I try to make a copy of the built program in another folder, it says that the configuration file is missing, when I copy the configuration file in the same folder with the program, it works. This means that I can't give the program to someone else, unless I give the configuration file as well ?
I had a problem with the Frameworks, but I figured it out, I just added this code to the configuration file:

<startup useLegacyV2RuntimeActivationPolicy="true">
   <supportedRuntime version="v4.0"/>
 </startup>

Maybe that messed it up?

On other programs, the configuration file gets saved in the "Application Data" folder (%appdata%), (C:\Documents And settings\USER\Application Data)in XP.

Tags: Visual Basic, Windows XP, Windows, DirectX, Windows Forms, General Programming, Media, Errors