How can I add an ampersand for a value in a ASP.net/C# app config file value

Use "&" instead of "&".

Have you tried this?

<appSettings>  
  <add key="myurl" value="http://www.myurl.com?&amp;cid=&amp;sid="/>
<appSettings>

I think you should be able to use the HTML escape character (&). They can be found at http://www.theukwebdesigncompany.com/articles/entity-escape-characters.php