Yeah, it's not where you'd expect it to be...
assuming you have Photoshop 7.0 + and Windows XP, it will be in "My Documents/Application Data/Adobe/Photoshop/#.#/Adobe Photoshop ??? Settings"
#.# = your Photoshop Version (Numeric... CS = 8.0, CS2 = 9.0)
There are a few files there... the one you're looking for will have the word "prefs" in it.
If you have a different OS, look here
creativepro.com - Photoshop Tips: Trashing the Preferences File for more information on fixing Preference file problems.
Mike.