The main folder should have a game and boot folder
The game folder should have movie and sqpack folders as well as some files, but I see no .cfg either.

The place you should check if you have a cfg should be
C:\Users\<user>\Documents\My Games\FINAL FANTASY XIV - A Realm Reborn

Dunno if it's different for steam, but it shouldn't be...

If you have no cfg there either... Check settings first on the launcher, then on main screen.