When installing my program, I\'d like to create a .config folder into the user\'s folder.
For example :
C:\\Users\\MyUser\\.config
To do this with WiX you need to use the CreateFolder element under the parent component. It's much the same question as this:
how to create folder in Wix?
As a better practice in my opinion, you should use the standard Windows Installer folder properties as locations. The full list is here:
https://msdn.microsoft.com/en-us/library/windows/desktop/aa370905(v=vs.85).aspx#system_folder_properties
for example ProgramFiles64Folder, AppDataFolder (which might be the best location for your directory), CommonAppDataFolder and so on.