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:
username = Rob
ignore = ~/hgignore.ini
merge = bcomp
cmd.bcomp = C:\Program Files (x86)\Beyond Compare 3\BComp.exe
opts.bcomp = /ro
vdiff = bcomp
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
# use glob syntax
# Ignore Visual Studio files