If you really want to create an empty config file at runtime you can do something like this, but note that if the config file already exists this code will overwrite it:
System.Text.StringBuilder sb = new StringBuilder();
sb.AppendLine("<?xml version=\"1.0\" encoding=\"utf-8\" ?>");
sb.AppendLine("<configuration>");
sb.AppendLine("</configuration>");
string loc = Assembly.GetEntryAssembly().Location;
System.IO.File.WriteAllText(String.Concat(loc, ".config"), sb.ToString());