Using the Files And Settings Transfer wizard [F.A.S.T]
The Files and Settings Transfer Wizard helps you move your data files and personal settings from your old computer to your new one, without having to go through much of the same configuration you did with your old computer. For example, you can take your personal display properties, folder and taskbar options, and Internet browser and mail settings from your old computer and place them on the new one. The wizard will also move specific files or entire folders, such as My Documents, My Pictures, and Favorites.
The above is copied from XP Help and Support.
Revised with SP2 additions: Detailed illustrated article on the use of F.A.S.T. by Gary Woodruff, MS-MVP
More F.A.S.T links:
List of Programs Whose Settings Are Migrated When You Use the Files and Settings Transfer Wizard 304903
Article by BySharon Crawford