There is no general answer.
You don't say which operating system you're using - to pick a couple at random, on Linux the settings are likely to be scattered around in a number of little files in unlikely places, in Windows the settings are likely to be scattered around in the registry in unlikely places (and possibly in some files as well).
Some applications may provide means for you to export settings from the old installation and import them in the new one.
In some cases finding and copying the little files and registry keys will work. In other cases this will not work, as the settings refer to or rely on other things which are different on the new computer.
Occasionally you will be lucky, and moving an application is simply a matter of copying a single directory, but most aren't like that ...
Pain, isn't it.