If this is on XP or Vista, try running gpedit.msc, then navigate to Local Computer Policy > Computer Configuration-> Administrative Templates > Windows Components > Internet Explorer. Right click on Internet Explorer and you'll be able to export all the settings.
If you need to do this programmatically, you could try looking at the IE registry settings in the hive.
IE settings:
[HKEY_CURRENT_USER\software\microsoft\Windows\CurrentVersion\InternetSettings]
[HKEY_LOCAL_MACHINE\software\microsoft\Windows\CurrentVersion\InternetSettings]
[HKEY_CURRENT_USER\software\microsoft\Internet Explorer]
[HKEY_LOCAL_MACHINE\software\microsoft\Internet Explorer]
