The LeapFrogConnect.cfg file did not install on your computer. To install it, right click on the file (on the right side of this page under "Attachments") and save the file to:
On a 32 bit computer: C:\Windows\system32\Macromed\Flash\FlashPlayerTrust
On a 64 bit computer: C:\Windows\SysWOW64\Macromed\Flash\FlashPlayerTrust
If the FlashPlayerTrust folder does not exist on your computer, create that folder, then save the attached file to the folder.