It pretty straight forward step, the only thing you need to do is copy the *.gpg files (pubring.gpg;secring.gpg; trustdb.gpg; and trustedkeys.gpg, if it exists) along with gpg.conf from the GnuPG home directory (usually ~/.gnupg or C:\Documents and Settings\YOURUSERNAME\Application Data\gnupg) on the current machine to the new machine.
if you are moving it from linux to windows machine you can skip the gpg.conf files