I believe that the settings file is usually located here:
C:\Documents and Settings\
\My Documents\SQL Server Management Studio\Settings
The location of what that path is, is stored in the Registry:
HKEY_CURRENT_USER\Software\Microsoft\Microsoft SQL Server\90\Tools\Shell\Profile
The default value should be:
%vsspv_visualstudio_dir%\Settings\CurrentSettings-.vssettings
but you can change it to a local path on your harddrive if for some reason the Visual Studio Dir is on a fileshare.
You might be able to find more info through google:
http://www.google.com/search?hl=en&rlz=1C1GGLS_en-USUS292US303&q=HKEY_CURRENT_USER\Software\Microsoft\Microsoft+SQL+Server\90\Tools\Shell\Profile&btnG=Search