Cfg files can be found every were and are not specific to source. In this case it is an abbreviation of "Configuration"
external info on .cfg
In source games a .cfg file can be executed to perform a list of console commands. cfg files can be written in Notepad or any other simple text editor.
they must be placed in the game's cfg folder. E.g:
\steam\SteamApps\[user name]\half-life 2\hl2\cfg
They can be run from the console using
Would you like to know more? See the tutorial.