You don't mention computer and OS you intend to transfer programs from/to.
If you are transferring from XP to Vista, this may help: http://support.microsoft.com/kb/931696
A good and inexpensive practice I try to maintain is regularly coping the Setup.exe files to a CDR or R/W. That way I never have to search for and download them from the Internet again.
No doubt you'll hear of other suggestions here at the forum as well.
I'm going to be buying a new laptop soon because mine is slowly dying. I have a few programs I want to put on my new computer, but I have one that I don't have the disk for. Is there a way I can save the program and put it on my new computer? I have the code for it though, I just don't know how to save the file.