now this is a bit weird, and I don't know if it is easy to resolve... maybe by changing the order in which openxcom checks for valid user directories...
I have OpenXcom in my dropbox, so I can play across several computers. in order to have the saves there also, I created the directory OpenXcom\User for the user data and stuff.
I just downloaded my OpenXcom from my dropbox (directly from the website) onto a computer that is not mine, and (because it was offered as default) put it into "My Documents".
I started the game, and was informed of the incomplete state, prompted for language etc. as if it was freshly installed. Apparently, the game looked for the default user data directory "My Documents\OpenXcom" and found it, but didn't find the config file there, because it was actually in "My Documents\OpenXcom\User".
The problem was easily resolved by moving the OpenXcom directory to the Desktop instead, but still it was kind of weird at first. Considering that the default game installation directory is called "OpenXcom", perhaps the default user data directory name should be "OpenXcomUserData" or something like that? That way the game won't get confused if somebody installs the game into "My Documents".