The config file should be in "My Documents\openxcom\user". My suggestion is to delete the openxcom folder from my documents and create an empty folder called "user" in your openxcom game folder. That way the config file will be located in this directory and not in "my documents".
If you had specific settings and want to keep those, you have to edit the "options.cfg" file located in the "user" folder. Open it with a text editor (Notepad, Notepad++, etc) and look for the lines and modify them as:
useOpenGLShader: Shaders/Openxcom.OpenGL.shader
useOpenGL: false
