Answer
The ArcReader Configuration Tool, ARConfig.exe, is located in C:\Program Files\ArcGIS\Bin with ArcGIS 9.2, 9.3, and 9.3.1, as the Developer Kit is not required to run the tool.
For ArcGIS 10, ARConfig.exe can be found in one of the following locations:
C:\Program Files\ArcGIS\ArcReader10.0\Bin
C:\Program Files\ArcGIS\Desktop10.0\Bin