When you add sites to the Trusted, Restricted or Local Intranet zones, they are stored in the registry at HKEY_CURRENT_USER\Software\Microsoft\Windows\ CurrentVersion\Internet Settings\ZoneMap. Each site has is represented by a key and the DWORD indicated which zone the site is in:
The DWORD values are cross-referenced with the keys at HKEY_CURRENT_USER\Software\Microsoft\Windows\ CurrentVersion\Internet Settings\Zones (also found in ..\Lockdown_Zones)
Export the key to save the zonemap information before reformatting or to move it to a new machine.