If you use Windows 95 or Windows 2000, msconfig is not provided by default with your OS... You can download it from
http://www.perfectdrivers.com/howto/msconfig.html
If you are having Win98 or XP, it is possible that 1. msconfig is missing or corrupt, 2. In XP, access to it has been disabled by your administrator, or 3. You have a malware that is disabling it... If you rule out 1 and 2, post again with your hijackthis log and we will figure out the solution...
Arun