Consistent creation of config dir

[cxong]

From #871 (comment) we observed inconsistent behavior when setting the config dir in Windows:

• if the config dir does not end in a slash, it will store config in that dir
• if the config dir ends in a slash, it will create C-Dogs SDL inside that dir and store config there

This inconsistent behavior is confusing; it should not create the C-Dogs SDL dir regardless of whether the path ends in a slash. However we need to be careful and maintain existing default config dir (AppData\C-Dogs SDL iirc)