Since you selected user scope, they are saved in each user profile directory, more specifically, inside the AppData folder of the user profile in a file named user.config.
The full path is dependent of the application.
In Windows 7 without roaming profile and with an Windows Forms Application named Example.Settings.CustomClass I’m getting the following folder:
C:\Users\[user]\AppData\Local\Microsoft\Example.Settings.CustomCl_Url_3qoqzcgn1lbyw2zx3oz1o3rsw2anyjsn\1.0.0.0
Also note that they are saved taking in consideration the version of your application and that the values stored in App.config are the default values used for a new user.