The location of the folder that stores your Warzone settings and preferences depends on which operating system you're using...
XP or lower
C:\Documents and Settings\<username>\My Documents\Warzone 2100 <version>\
Vista or higher
C:\Users\<username>\Documents\Warzone 2100 <version>\
/Users/<username>/Library/Application Support/Warzone 2100 <version>/
/home/<username>/.warzone2100-<version>
<username> is your login name<version> is the game version, eg. 3.1
<username>
<version>