Save Security Settings in IE6

Yes

From XP SP2 Help

Using the Files and Settings Transfer WizardThe 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 e-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. Passwords are not moved with program settings when you use the Files and Settings Transfer Wizard. This is a feature of the Files and Settings Transfer Wizard that helps to keep your passwords confidential.

We recommend that you install a virus detection program on the new computer before transferring files over from the old computer. This can help protect your new computer from viruses that may be contained in the files transferred over from your old computer.

Open the Files and Settings Transfer Wizard.

 Notes To open the Files and Settings Transfer Wizard, click Start, point to All Programs, point to Accessories, point to System Tools, and then click Files and Settings Transfer Wizard.
For more information, click Related Topics.

I hasten to add, that once I've configured my XP SP2 items/IE (all); I do a silly, but simple thing ... I open a Word or Wordpad new document, look at the settings pages that I want to maintain, use the CTRL+Print Screen key, which does a screen copy of what I see, and then pop over to the Wordpad or Word document and paste it.  Once I've captured images of all my desired settings, print that puppy out for future reference.  Makes life easy; and added backup since some 'updates' change things and I don't always like it.

Export this key from your source computer

HKEY_CURRENT_USER\Software\Microsoft\Windows\CurrentVersion\Internet Settings\Zones

And apply the REG to the other computers.

Description of Internet Explorer security zones registry entries:
http://support.microsoft.com/default.aspx?kbid=182569

Thank you for your Feedback on this question, however, that information is key here and may already have been answered by sramesh2K above....  We don't get email notifications of Feedback comments, only find them if we happen to check them manually, so I'll paste them here to keep this information flow intact.  Please use the Email links to comment within the question thread.
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Cut/paste:  OK, saved the settings to a 12MB file on a USB Key.  If those settings are transferred to another computer, are all profiles affected or only the one active?
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OK, saved the settings to a 12MB file on a USB Key.  If those settings are transferred to another computer, are all profiles affected or only the one active?

YAY!  So pleased  for you!  Asta

Thanks a bunch for your help.  I've learned a few things in the process.

Me too.  ":0)  A win/win scenario.  Asta

Glad that helped :-)