Looks like Steam was added to Fallout New Vegas late in development. There are half a dozen INI files in the steamapp folder tree for FO:NV. For instance there are:

C:\Program Files\Steam\steamapps\common\fallout new vegas\

Fallout_default.ini
low.ini
medium.ini
high.ini
VeryHigh.ini

Some people have an INI file in the following Steam folder as well (apparently part of Steam Cloud, which is currently disabled for Fallout New Vegas):

C:\Program Files\Steam\userdata\########\remote\

falloutprefs.ini

Then there's the (2) INI files in your My Documents\My Games:

C:\Documents and Settings\USERNAME\My Documents\My Games\FalloutNV

Fallout.ini
FalloutPrefs.ini

Reference Links

FalloutPrefs.ini reverting to default
Fallout.ini keeps reverting to default
Can't edit Fallout.ini Keeps getting replaced, preventing performance tweaks

So which file do you edit?

Well, that depends on whether you run the FONV launcher when you startup Fallout New Vegas or not. And when the Steam Cloud is re-enabled, it's going to throw yet another INI file into the mix. Rumor has it that the proper file to edit is the "Fallout_default.ini" under "steamapps\common\fallout new vegas\", at least if you use the launcher from Steam (or via the shortcut that Steam creates).