When you say "changing the system", do you just mean a different computer or upgraded OS (Win Vista to Win 7 for example), or to a new OS or architecture (Win Vista to Linux, for example).
If you're upgrading to a newer OS or a different machine with the same OS, then you *can* just copy over the config directory. If you do this, don't copy over the tagfiles subdirectory. You'll want to have all those rebuilt on the new computer. You may also want to exclude the vsdelta subdirectory, which keeps track of backup history, if your source directories will have a different structure on the new box.
If you're moving to a different OS, then you should use the options Import/Export facility.