Outlook is easy to transfer all your email and address book. Just go to File/ Import Export and choose Export to a file. Pick Personal folders (.pst) When the folder tree opens, click on the top one, Personal Folders, and check the "include subfolders" option. Now it will backup your entire email to a file which you can import later.
With IE 6, exporting your favorites and cookies (password stuff) was easy. Not sure about IE 7 being that easy.
Outlook Epress will let you export messages to Outook, so you might want to do this before you create the PST backup of Outlook files.
My Documents you can simply copy to your portable drive or wherever.
Another option is to use the File and Transfer wizard in XP. Start this and choose what you want to transfer and put it on a separate drive. If you are transfering to Vista, try and get a copy of the migration tool, which Vista will let you export for using on another computer.