~/.hedgewars as in most distros.

Yeah, unless the distro is applying a patch it should be that on all *nix.

Also, if you are dual booting, you *can* symlink one config dir to the other one. Back when I dual booted windows I did that w/ my Firefox profile all the time. Should work equally well w/ .hedgewars

You need to set the Windows root to mount on boot ofc, but that's pretty easy, there's a nice lil' gui tool for it.

well, i searched the directory but i couldn't find it :/ (i'm starting with linux) but when i look for it, some directories appears but they are named 'hedgewars' (without the dot).

I must be root to do this?

EDIT:Forget it. I found the directory. It was hidden
thank you guys.

Yeah. Config dirs are hidden by default to avoid cluttering up your home dir.
ctrl-h in several shells toggles hidden, might work in yours. ls -a on the commandline.

Or you can just switch to it blind.
For your convenience, you can always do something like:
ln -s ~/.hedgewars ~/Desktop/hedgewars_config

Or something.

(You can also do that in, oh, Caja/Nautilus by middle clicking on .hedgewars and dragging it to your desktop then choosing Link Here then renaming it to something more convenient)