In BSPlayer's installation folder there are two files:
BSplayer.YourName.xml and EQ.YourName.xml (EQ=equalizer).
(Further files of interest may be: bsplay.sav and bsplay.bkf)
These files can all be opened with e.g. Notepad or WordPad.
Edit: In WinXP starting from BSPlayer version 1.38 build 828 config is saved in user home directory