The configuration bits sets some hardware configuration for the microcontroller.For example in PIC16F84A you can set the oscillator configuration i.e.. which kind of oscillator source you are going to use for your mcu,Watch dog,Power up timer and Code Protect can be turned on and off using configuration bits.
You can also set them in your source code,normally macros will be provided with you assembler or compiler.
The datasheet for your mcu will cover all the configuration bits settings.So check it out
Good Luck