How do I add an app.config file to my project?

I admit it. I'm pretty new to C#, .NET and any Visual Studio past 6.0. But somethings seem unnecessarily hard.

Example at hand: I want to add an app.config file to my WinForms application. What I ended up doing was dragging an app.config file from a command-line app (I have no clue how it got one) to my WinForms app. Miraculously, Visual Studio made a copy of the app.config and put it in my projects' directory structure.

Cool, but why did it come down to that?