Use the registry for the windows version.
It is build for keeping data in a central place, and as an added bonus, if the user deletes your entire folder, the settings ar still sitting in the register(*)
here on stackoverflow is an article describing how to access the registsry using the Java programming language.
I don't think Mac has something like this, and I know Linux certainly doesn't have it, but it is a start.
(*) the register is of course also not safe for tinkering users who can easily delete the keys belonging to your app.