You can figure out the location of your bitcoin.conf file (and directory) from this link: https://en.bitcoin.it/wiki/Running_Bitcoin#Bitcoin.conf_Configuration_File
Just be careful about sending the files in this directory and make sure you know what you are sending (better if it's a text file you can drag into an open notepad window or something). There are plenty of reports of malware infections that search this directory and copy out the wallet.dat file, for instance.
"Download all the blocks" - Bitcoin depends on blocks to communicate who sends coins to who. The system is designed to create a new block about every ten minutes. When you first start up the client, it needs to download the entire "conversation" of blocks from the beginning of BitCoin until now. If someone sent you coins, you will not see them until your client "catches up" to the block that contains the payment. I have seen downloads where you can pre-download the block chain, so you don't have to take the time (currently ~16hrs) to have the client figure it out itself. More information: https://en.bitcoin.it/wiki/Block_chain
In the official client the number of blocks is listed in the lower right hand corner of the window. When you are completely caught up that number will match the one here: http://blockexplorer.com/q/getblockcount
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