• Configure system-wide settings in the Machine.config file.
• Configure settings for a Web application in the Web.config file.
• Manage a Web application's configuration by using the Web Site Administration Tool.

You can change the system wide settings by manually editing the machine.config file in the config subdirectory of the framework or you can change it programatically by using the Configuration classes.  Same with web.config

There two articles at ExtremeExperts.com that cover configuration.  Part 1 and Part 2

The Web Site Administration Tool  Ludmal has a quick article outlining the feature set

Next up->Web Applications