By default, the application configuration file of the default appdomain (and other appdomains for v1.1 and later) is in the process exe’s directory and named the same as the process exe + ".config". This is true even if that exe is unmanaged. Also, note that a web.config file is an app.config - ASP.NET sets that as the config file for your appdomain.
To change the config file, set an AppDomainSetup.ConfigurationFile to the new location and pass that AppDomainSetup to your call to AppDomain.CreateDomain(). Then, run all of the code requiring that application config from within that new appdomain.
Note, though, that you won’t be able to choose the CLR version by setting the ConfigurationFile – at that point, a CLR will already be running, and there can only be one per process.
Application configuration files are per-appdomain. So, you can set a ‘dll config’ by using the method above, but that means that it will be used for the entire appdomain, and it only gets one.