There's no config file as such (although you could define the registry as a very big one). Just run msconfig (via the Start>Run box), go to the startup tab and uncheck the things you don't want to run at startup).
But that doesn't help for Internet Explorer. It might help to tell WHEN you get that message. The only thing I can think of is to change the home page in Tools>Internet option>General.
In Windows 98, you could edit config.sys indeed, but I'm sure it didn't contain either the startup programs or anything having to do with Internet Explorer. It was only needed if you happened to boot into native MS-DOS, as far as I know.
And why can't you change the "display background screen"? Do you mean the desktop? How do you try to do it, and what happens?
A trojan virus changed my windows xp home addition configuration. I installed the free AVG virus detection software and eliminated the virus. I had to eliminate all restore points which were also infected. Now I need to change or delete a line in my config files. I keep getting a message that windows internet explorer can't find a file which was the virus file(///c:windows/privacy_danger/index.htm'. make sure the path or internet address is correct). I also get a different display background screen which I can't change. All else seems to be working properly. In windows 98 I could go into my config file with notepad and edit out the line. I can't locate the files in xp. I don't see anywhere to edit lines in msconfig, or how can I restore just config files only without loosing programs and data?