There shouldn't be a problem as long as its extension is .conf.
well whenever I double click on the .conf file, it opens up notepad and not cgminer. I've made sure to save it as a .conf file and change it to other file types when saving and not leave it as a txt file. If need be I may do a system reboot as I have to clean up the system anyways and I use it primarily for mining so it isn't that big of a deal.