I have a C# WCF client that is wrapped for COM+ Enterprise Services. I install the component on the target machine and use regsvcs to put it into Component services.
My question is, where will it look for it's configuration file, as it is running under the dllhost process rather than a regular exe?
By default, a Server COM+ application will look for configuration files in the %windir%\system32 directory.
If you wish to change this location (which you should!), you will need to set the Application Root Directory which is in the COM+ Application configuration on the application Activation tab in Component Services. There you can point to your application specific configuration location. You will then need to deploy your configuration file and an application manifest to the application root directory.
The full details are at Using Per-Application Configuration Files.