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You can put them in your start in directory. You can tell Pro/E where to find files like tree.cfg and syscol and appearance.dmt. But you cannot tell it where to look for the config.pro and config.win files since it looks in config.pro to get the other locations. One of the default locations to put the config files is your start in directory, so Pro/E will read them each time it loads. You can also put config files in the directory that you make your working directory. But I am not really sure on that.
Finally, if you want them in the best place put them in ProELoadPoint\\text. This is usually the directory that a corporation will put them. Then the individual users can put their personal file in the start in directory. Pro/E defaults to load the text directory copy first then the startin directory copy gets loaded over top of the other.
Hope that make sense.