Since web.config file is xml file you can open web.config using xmldocument class. Get the node from that xml file that you want to update and then save xml file.
here is URL that explains in more detail how you can update web.config file programmatically.
http://patelshailesh.com/index.php/update-web-config-programmatically
Note: if you make any changes to web.config, ASP.NET detects that changes and it will reload your application(recycle application pool) and effect of that is data kept in Session, Application, and Cache will be lost (assuming session state is InProc and not using a state server or database).