Then create one, on D:\Programme\Bitcoin\Blockchain (because that's the datadir you specified, and I think the client expects to see the conf file there). On that folder, right click and then select New -> Text document. Then name that file bitcoin.conf without the .txt at the end. Now open the file with Notepad and add the settings to it... I agree it's a bit troublesome for non-tech-savvy users.
Ok, I did just that, created the bitcoin.conf file like you described, saved it in D:\Programme\Bitcoin\Blockchain first, didnt work, saved it in C:\Users\Sgt.Banana\AppData\Roaming\Bitcoin like the client expects it by default, then..
Ok actually it did something, so that the command line locked up and I could see the blockchain download all over again in C:\Users\Sgt.Banana\AppData\Roaming\Bitcoin the directory I tried to divert the heavy 3GB blockchain from!
So this seems not to work, unless I remodel the partition size of my harddrive, which I wont do.
Is there something else we can do to make this work? Thx for your help so far.