The location of the folder that stores your Warzone settings and preferences depends on which operating system you're using...

Windows

XP or lower

C:\Documents and Settings\<username>\My Documents\Warzone 2100 <version>\

Vista or higher

C:\Users\<username>\Documents\Warzone 2100 <version>\

Mac OS X

/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