I wish Windows came with this feature built in.
I can only tell you that these settings are stored in various files and folders throughout Windows, and I am of the opinion that it would be quite a feat to find them all.
It also depends on which version of Windows you have as far as what the names of the folders are, I would think.
Sorry, don't know of any specific program that allows you to do this.
With W98, your favourites are stored in C:\windows\favourites.
Go figure...
You can copy these files to a floppy if desired.
I backup my whole windows folder onto a CD, minus the temp folder, the temp internet files folder and a few others.
You should learn how to use MSBACKUP, its included with Windows.