All configuration files are searched using the same pattern: UWM first looks into the directory $HOME/.ude/config. If the file is not found there it checks the directory $UDEdir/config or, if the $UDEdir environment variable is not set, the global UDE configuration directory which results in something like /usr/local/share/ude/config. The UDE default installation directory can be changed at compile/configuration time. Take a look at the INSTALL-Readme-File for details about this. If the configuration file is still not found, UWM takes the filename as it is (usually dereferencing any environment variables first).
If a c preprocessor is found on the system UWM is runing on, any configuration files will be passed through the c preprocessor before UWM looks at them. This will make it possible for you to use macros etc. Take a look at the manual of your preprocessor for more info.