If I set up a scene so it loads a bgeconf file (load bge.logic.globalDict actuator), if the requested file is not there, the console spits out the message:
Error: could not open /directory name/blendfile name.bgeconf
thats fine like this. just put a .bgeconf in the folder where your blend is. do so by save the game using a
Game Actuator.
This can also occur if you change the structure of bge.logic.globalDict, and then try to load the old saved one.