When you exit Source Insight, the current configuration is saved in a configuration file. When Source Insight starts, it restores the configuration of the previous session.
If a project is not open, then the name of the current configuration file is global.cf3, and it is stored in your Source Insight program directory (where you told the Setup program to install Source Insight).
If a project is open, the name of the current configuration file is either <projectname>.cf3 or Global.cf3 depending on the settings in the Project Settings dialog.