How do I maintain user settings or preferences in a deployed application from run to run?

Deployed Application with customizable user settings that persist on subsequent executions

I have a configuration variable (struct) that contains some user preferences and the paths to the last data set the application used. This variable is saved as a .mat file (actually, renamed to a .cfg file in case that's relevant). When program launches, it looks for this file, loads the contents and the configuration is used. All fine and dandy. The user may modify his or her settings and then save them, which rewrites the .mat/.cfg file.

Here is the problem in the deployed application:

• if I bundle the .cfg file, it is read properly but can't be modified.
• If I don't bundle it, then I don't know how to tell the application where to look for the file, as this could change for each end user.

Is there a better way to handle this? I'm hoping for something cross platform as we have a mixture of Macs, PCs and a Linux server.

Thanks for your help