If you saved it as a .cfg file, make sure the full name is autoexec.cfg and not autoexec.cfg.txt or something sneaky like that.

CS2, which is currently under limited testing, is filled with bugs that affect gameplay. To counter this issue, the game's community has worked out numerous solutions to tackle latency bugs, ...

I've seen that Windows 2000 includes a config.nt and autoexec.nt file used to initialize and be compatible with some older DOS programs. However, since I'm not running any DOS programs on one box here ...