This file is not included in the Moodle download packages. It will be created by Moodle during the installation.
You may need to edit the config.php file if, for example, you change you database password or change servers completely.
There are also some settings in Moodle that don't have a UI for them. To use these settings you have to add them to the configuration file. Moodle download packages contain a file called config-dist.php that has examples of these special settings.