You can move the wp-config.php file to the directory above your WordPress install. This means for a site installed in the root of your webspace, you can store wp-config.php outside the web-root folder.
Note: Some people assert that moving wp-config.php has minimal security benefits and, if not done carefully, may actually introduce serious vulnerabilities. Others disagree.
Note that wp-config.php can be stored ONE directory level above the WordPress (where wp-includes resides) installation. Also, make sure that only you (and the web server) can read this file (it generally means a 400 or 440 permission).
If you use a server with .htaccess, you can put this in that file (at the very top) to deny access to anyone surfing for it:
deny from all