Should be the data directory location.
Though I'm not sure for Windows is it's called electrum or electrum_data.
For "Installed" and "Standalone" versions of Electrum on Windows... The Electrum data directory is: %AppData%\Electrum
Wallet files are kept in a subdirectory under this called "wallets"
For the "Portable" version, it will create an "electrum_data" folder in the same location as the .exe and store all the application data there. It follows the same subdirectory structure, so again, there will be a "wallets" folder with your files contained there-in.
As for opening wallet files from other locations, I don't believe that Electrum makes a copy of them, it just opens it from wherever it was when you specified "Open".
That is why I didn't install the portable version, actually ThomasV recommends not to use the portable version. Im glad to see that it was not copying my wallet files in the HDD as I opened them. I only found "defaut_wallet" in %AppData%\Electrum\wallets
I hope ThomasV sees this thread and adds an option in the GUI to disable saving wallet history and deleting existing one, one shouldn't need to find config files for such a basic thing.
Directly in the data folder, you get files. If you spot a file called blockchain_headers it's in that same directory it's just called config (don't think it has a file extension).
I found it, it worked, but it's annoying having to manually delete it every time.
Yes it is quite an annoying thing to do. You could always install electrum portable on the USB stick and use that. I have one on a external hard drive only use it on TRUSTED DEVICES and you're fine. It is safer just to use the regular electrum version but if it's a pendrive that will be kept really safe and only used in one or two computers then you'll probably be fine (I had 1.26BTC in mine for a few days and it was fine).
Portable versions get other issues as well though. Iike stuff might get deleted by antivirus stuff!
Make a backup of the USB stick also onto another USB stick/sandboxed computer.