Correct,
http://www.visualbuild.com/Manual/co...ationfiles.htm is referring to the base VBP install path (default is %ProgramFiles%\VisBuildPro6 for v6) when referring to "the Visual Build Pro installation directory."
Where and how you load the config files is probably a matter of preference. Some possibilities:
1) Store the initial config files in source control along with the .bld file and load them explicitly from a path relative to the .bld file (%PROJDIR%) at the beginning of the main project.
2) Create a setup/bootstrapping project that copies the initial config files to the standard location (%ALLUSERSPROFILE%\Kinook Software\Visual Build Professional 6).
3) Create a setup/bootstrapping project that updates the ConfigFilesPath registry value to the path containing the config files.