This took me a little bit to figure out, so hopefully this will save someone else some work.
Your mercurial configuration file should be named "mercurial.ini" and should live in %userprofile%, e.g. C:\Users\Rob\mercurial.ini.
You may name your global ignore file anything you want, e.g. hgignore.ini, and place it anywhere you like. I prefer to keep it with my mercurial.ini file, so it also lives in %userprofile%, e.g. C:\Users\Rob\mercurial.ini.
Then you place a line in your mercurial.ini file that points to your ignore file:
[ui]
username = Rob
ignore = ~/hgignore.ini
merge = bcomp
[extensions]
extdiff =
[extdiff]
cmd.bcomp = C:\Program Files (x86)\Beyond Compare 3\BComp.exe
opts.bcomp = /ro
[tortoisehg]
vdiff = bcomp
[merge-tools]
bcomp.executable = C:\Program Files (x86)\Beyond Compare 3\BComp.exe
bcomp.args = $local $other $base $output
bcomp.priority = 1
bcomp.premerge = True
bcomp.gui = True
The "~/" specifies your home directory. Note that even though it uses the "/", this works fine on Windows.
Here's an example hgignore file that I borrowed. See the links incorporated in it for the sources. Note that I have commented out a few entries, i.e. using "#", for items that I like to check into Mercurial, e.g. *.exe and *.pdb.
# Ignore file for Visual Studio
# http://blogs.planetcloud.co.uk/mygreatdiscovery/post/Mercurial-ignore-file.aspx
# http://stackoverflow.com/questions/34784/mercurial-setup-for-visual-studio-2008-projects
# use glob syntax
syntax: glob
# Ignore Visual Studio files
*.obj
#*.exe
#*.pdb
*.user
*.aps
*.pch
*.vspscc
*.vshost.*
*_i.c
*_p.c
*.ncb
*.suo
*.tlb
*.tlh
*.bak
*.cache
*.ilk
*.log
*.tlog
*.idb
*.sdf
*.opensdf
*.embed.*
*.intermediate.*
*.lastbuildstate
*_manifest.rc
*.ipch
*.lib
*.sbr
*.scc
#[Bb]in
#[Dd]ebug*/
obj/
#[Rr]elease*/
_ReSharper*/
[Tt]est[Rr]esult*
[Bb]uild[Ll]og.*
*.[Pp]ublish.xml
Good luck!
Rob