It’s not the *config* file that’s missing, it’s nano!
Did you have an error when you installed nano? Did you install it as root? As a worst-case, you can copy the config file to /data/share/hdd/public (DISK 1), and edit it on the windows side, then copy it back to /opt/etc/mt-daapd/mt-daapd.conf.
I’d still go the nano route, though, as you’ll eventually want to be able to edit files. A linux box you can’t edit files on is not the true linux box.
p.s. if I’m at my computer, you can find me on AIM as “rpedde68” — prolly faster that way.