I have already seen http://dev.mysql.com/doc/refman/4.1/en/mysql-config-wizard-file-location.html
how to know mysql my.cnf location
and
http://dev.
my.ini LOCATION ON WINDOWS MYSQL 5.6 MSI (USING THE INSTALL WIZARD)
Open a Windows command shell and type: echo %PROGRAMDATA%. On Windows Vista this results in: C:\ProgramData.
According to http://dev.mysql.com/doc/refman/5.6/en/option-files.html, the first location MySQL will look under is in %PROGRAMDATA%\MySQL\MySQL Server 5.6\my.ini. In your Windows shell if you do ls "%PROGRAMDATA%\MySQL\MySQL Server 5.6\my.ini", you will see that the file is there.
Unlike most suggestions you will find in Stackoverflow and around the web, putting the file in C:\Program Files\MySQL\MySQL Server 5.6\my.ini WILL NOT WORK. Neither will C:\Program Files (x86)\MySQL\MySQL Server 5.1. The reason being quoted on the MySQL link posted above:
On Windows, MySQL programs read startup options from the following files, in the specified order (top items are used first).
The 5.6 MSI installer does create a my.ini in the highest priority location, meaning no other file will ever be found/used, except for the one created by the installer.
The solution accepted above will not work for 5.6 MSI-based installs.