There isn't anything built into .NET 1.x to do this for you. In .NET 2.0 however they have introduced the concept of Application Settings, which sounds like it is designed to do the same sort of thing as the Cocoa stuff you referred to.

I haven't used the Application Settings yet, so I don't know how good it is.

http://msdn2.microsoft.com/en-us/library/0zszyc6e(en-us,vs.80).aspx

We have just started on a new project and have opted to use VS.NET 2005 and .NET 2.0, as by the time the product ships VS.NET 2005 will have been released. We are using the release candidate of VS.NET and it feels very solid and has lots of great new usability features.