At the moment I do not have a window, but I think that it should be in the directory C:\WINDOWS\.
When calling GNU / Linux help with is mysql --helpdisplayed (excerpt):
Default options are read from the following files in the given order:
/etc/my.cnf /etc/mysql/my.cnf /usr/etc/my.cnf ~/.my.cnf
, Windows.
Btw: mysql --version .