If you're running ISAPI the INI file is used for Web Connection settings. If running the managed module web.config is used for Web Connection settings.
For development with Visual Studio web.config is used to hold some environment settings - those settings are not required at runtime.
However, IIS 7 stores virtual directory configuration information in web.config. So even if you're running ISAPI, any IIS settings like script maps, permission settings (anything from the Managemnet Console) will end up in Web.config. On IIS 7 you will most likely have a web.config file, but if you're using ISAPI messaging no Web Connection settings are stored there.
This is actually a very good thing although it can seem confusing. On IIS 7 all local configuration settings can be localized in a web.config file that travels with the application and can be xcopy deployed. Especially if you use the managed module no further configuration beyond copying the web.config file to the server is required as virtuals, scriptmaps and permissions are all set in the .config file.
If you're runing on IIS 7 and you are running your application in a single virtual directory (or the root) using the managed module is highly recommended as it's more stable, slightly more efficient and tuned for IIS 7 and later.
I hope this helps,
+++ Rick ---