You probably can't see the Settings file in the Visual Studio project.
You could click on "Show All Files" when your project is highlighted in Solution Explorer. You can then edit the value by double-clicking on the Settings.settings (or App.config - I forget which) component.
Alternatively, you could right-click on your project and choose "Properties" - you can then edit the value(s) in the Settings tab of that dialog.
If you want to edit the file using a text editor then it should be located in the same folder as your executable (debug or release folder as appropriate). Note that it will have the same name as your executable as it is renamed on build. If it is not there then have a look at the appdata folder.
There is a (quite old now) article here on CodeProject that might help
Application settings in VB.NET 2.0 and Visual Studio 2005[
^] - the principles still apply (from .NET 2.0 onwards)
Of course, you could as suggested, use
My.Settings.myturn = 0
just before exiting the program(not just after displaying the message)