this feature is not available in a stable version yet. It was introduced after the 0.6 branch was split off and thus will not show up in any 0.6.x stable releases. It will be in the upcoming 0.7 branch, and if you want to play with the feature before, you have to download a nightly version. Any later than r12924 that is, but I'd just recommend the latest. You can fetch the latest nightly version for your system of choice from http://www.openttd.org

Have fun and happy holidays

PS: the so-called "patch settings" is a blue-yellow colored options window with six tabs, available from the main menu and from ingame; in the nightly versions (and thus also starting with 0.7) they have been renamed to "advanced settings".
You also should have a config-file after you started openttd at least once. It's called openttd.cfg and most probably located somewhere in a "openttd" subfolder of your personal dir. But you normally don't need it as you can set up most you'll need ingame.
