As mentionned in the parameters description, you may force Mylene to use a configuration file in particular using for example the parameter --config-file=filename.ini
To accomodate portable installation and other complex setup, please note that regarding that filename it may:
As you can see with the above example, if the configuration path or filename has spaces in it, you may enclose the value of it between quotes.
When you launch the application specifying the configuration filename, the complete path and filename does not have to exists actually. Regarding the path, if a few branches of directories need to be created, they will, as long as it is possible. Obviously, application won't invent inexisting drive, inexisting network server or won't write in folder where the current user has no rights to write in.
It's when Mylene is closed, that it will create the file if it was not present or will update the one there if it was.
You may determine for sure what is the actual configuration file Mylene is using by going in the "About..." page and look for the line "Config file" as shown in the image below: