A .cfg file is a configuration file format used to store settings for a specific application or program. Programs store basic settings in these files and when you make a change to settings then the program makes a new file to store the updated settings in. Most .cfg files are written in ASCII language and are generally considered a simple database.
This type of file can be opened by word processor documents, but opening these can be very risky to the stability of the program. Any changes made to the these files will directly affect the program. Deleting or removing a .cfg program that was created when settings were altered will reset a program back to the factory or default settings.