User.config is PER USER based configuration. That is why it is automatically saved in ...\document and sessions\username\...... and with "crazy" path name, because Windows (.NET runtime) has to figure it out according to the user, application... to make sure it is used by certain user for certain application.
What you really want (according to your description) is application level configuation, which would be shared by all users who use your application in the computer. So, you really should use xxx.exe.config. In the case of AutoCAD, it is acad.exe.config.
Or you can use other means to determine where you store/find your own custom configurable data, as Tony suggests, implementing IExtensionApplication's Initilize()/Terminate() to get and save your settings. For example, you can use System.Reflection.Assembly to determine where the DLL is loaded from, and then read/save your own setting file from there. Of course, the setting is on application level, not per user.