The Character config is a separate menu from the System config, at least on the PC version. Look around the System menu a bit more and you will probably find it. This menu is only available while currently logged into a character, you cannot access it from the login screen.

The gear icon he is talking about is the one on the chat log. It is a shortcut into the chat config, where other options are accessible, but you do not need to enter the config menu that way.