How to tell Notepad++ to always use a particular language with a particular file extension

In Notepad++ open the Preferences dialog box by clicking on Settings -> Preferences click on the New Document/Default Directory tab and change the Default Language to XML.

EDIT: Just saw that you wanted it to apply to .config files as well. This can be done but you'll need to do it for every extension you want to override. Click on Settings -> Style Configurator scroll down to XML in the language section and add config to the User ext box. Save & Close and any new .config file opened will show up as XML. In fact, I've already done that for my installation as seen below:

There is a GUI option to set up a static link between file extension and language (instead of manually editing the %APPDATA% langs.xml file or %PROGRAMFILES% langs.model.xml file as @jakub.g suggested):

If you go to Settings -> Style Configurator -> select the language on the left, then at the bottom of the screen two textboxes appear:

In this example, I added "config" to the User ext. textbox so any time I open a file with a .config file extension the XML syntax highlighting will be automatically selected under the Language menu.

I know this doesn't solve the problem of remembering which syntax highlighting to apply to a single specific file, but it is an easy way to set up highlighting for all file extensions.

If you want to remember the syntax highlighting selection for an individual file I believe the only option is to select the checkbox: Settings -> Preferences -> MISC -> Remember current session for next launch.