This file doesn't exist by default (per the comments on the question), but should be written at ~/.ssh/config. The SSH client allows you to store an amazing amount of properties based on a given hostname, even global defaults, in the 'ssh_config' client file. On Linux, OS X, and most other UNIX-y based environments, SSH is generally purely command line, but still amazingly powerful.
PuTTY is a great Windows frontend, not to mention the need for an SSH client in the first place.
