These items are all stored by operating system in your system folder. On Windows 95, 98 and ME, this is generally called "WINDOWS", while on Windows 2000 and NT it is usually called either "WINNT" or "WINNT40" or something to that effect.
When you install your operating system you can actually change name of your system folder (that's WINNT or Windows folder) as well as boot drive. If you did either of these things, just substitute appropriate information.
Depending upon which version of Windows you are running and where you installed operating system, your fonts could be in a number of different places. Assuming you took defaults when your system was created (or it was created for you), you will find fonts in following places:
Windows 2000, NT - C:WINNTFonts
Windows 95, 98 and ME - C:WindowsFonts
If you still cannot find your fonts, all is not lost. Use "search" function form your "Start" menu and look for a folder called "fonts".
Believe it or not, wallpapers are stored directly in your systems folder. They always have a file type of ".BMP", which means they are large. If you want to save your wallpapers, just back up everything with a ".BMP" file type.
These things are a little more complicated, since they usually require more than one file. These are stored in system folder, and they can also be found in different subfolders, including "system32" and "system".
There is almost always a file with a file type of ".SCR", and often there are ".DLL" files as well. There may be additional files (and they may be in additional subfolders) depending upon screen saver.
How do you know what to back up? It's not easy, and my recommendation is to save original files (usually ".EXE" and ".ZIP" files) in a different directory. There is simply no telling what screen saver installation has created (it could even create registry keys!)
Internet Explorer Cookies
You don't really need to know where Internet Explorer saves it's cookies, since you can make a backup of them from browser whenever you want. To do so, select "Import and export" option from "File" menu.
Internet Explorer Favorites
To save your favorites, just choose "Import and export" option from "File" menu. The wizard will guide you through process.
Putting It All Together
All right, you've purchased some hardware, say an writeable CD drive, and you've got some software, let's say you purchase Second Copy. You also know where computer puts things. Now what?
Okay, what you need to do is organize heck out of your system. What I've done is allocate a whole physical drive to my stuff. This way I know exactly where my files are ... and keeping them separate from applications and operating system files means my stuff does not get mixed up with anyone else's stuff.
If you cannot afford another hard disk drive, or if you just don't want to bother, you can create a separate partition on your system disk. Note that you can only do this on a new drive (a new system perhaps) or you will have to completely back up and restore your drive. Unless you are starting from scratch with a new system or a new disk, this option is usually not worth trouble.
The other thing you can do (and what most people do) is simply to create a folder for your stuff. You could call it "My Stuff" or you could give it a name (like your own name, for example) or whatever else you want.