The config is also a directory. In config directory there should be .cfg files of every plugin installed. Check where are your nagios configuration files, like nagios.cfg, commands.cfg, cgi.cfg, etc. Go there, then one directory level up, and there should also exist directory called nagios-plugins, and in it there should be directory named config. And, like I've said, config directory should contain .cfg files of all plugiins installed.
Or just type at the shell:
and it should locate it. If it outputs more hten one directory (and it should), pick the one within /etc/ directory. I hope this helps