I have included the following statement in my Visual C# Console Application (Visual Studio 2005 .NET 2.0 Framework)
using System.Configuration;
You need to reference System.Configuration.dll in your project as well as the "using" statement.
Namespaces are (sometimes) "split" across assemblies. That means that types in a single namespace are actually in different assemblies.
To determine which assembly a BCL or FCL type is in, look it up on MSDN. If you look at the help for ConfigurationManager, you'll see that it specifies that it's in the System.Configuration assembly by looking near the top at "Assembly". This is the assembly you need to reference from your project