Which version of NHibernate are you using? 1.0.2? (The current official one)
You might want to consider going to 1.2 Alpha1 as the speed improvements and .Net 2.0 built in support are definately worth it (and I haven't hit any edge cases that have made me worry about going to prod with it... your results may vary).
But, to your questions...
First, if you're using Visual Studio, then all of your configuration should go in a file in the project called app.config. If you're not using visual studio, then the configuration information should go in the same directory as your WinForm .exe with the name <myApp>.exe.config. So, if your app is called superCool.exe then all of the config settings should go in superCool.exe.config in the
same directory as superCool.exe. This is a native feature of the .Net framework, not something special to nhibernate.
Second, you technically only need to reference nhibernate.dll. Plan on the following being packaged with your application, though:
Code:
Castle.DynamicProxy.dll
Iesi.Collections.dll
log4net.dll
NHibernate.dll
Also, if you are using NHibernate 1.0.2 and want to use the native nullables (declaring things as int? to denote nullable fields), then plan on referencing Nullables2 (
http://dotavery.com/blog/archive/2005/09/30/5202.aspx) as well.
Lastly, the connector they're probably referring to is on the MySql download section. You can find it here:
http://dev.mysql.com/downloads/connector/net/1.0.html
Hopefully that's enough to get you started.