Suppose for example that we're working with Blender 2.67 and we want to update to Blender 2.69. First we have to do is downloading the latest version from here: http://www.blender.org/download/ and install it. We can install this in a different folder than the 2.67 version, and have both versions in our computer, if we so wish.
Next to do is looking where our configuration Blender folder exists in our computer, and copy the following files within the 2.67 folder into the corresponding 2.69 folder:
bookmarks.txt recent-files.txt startup.blend userpref.blend
The configuration folder location depends on the operating system we are using. In Linux, this is:
We need to show hidden files for this. versionNumber obviously refers to the current version we have been using (for example, 2.67).
How about the location of this folder in other operating systems?
According to the following link in the Blender wiki http://wiki.blender.org/index.php/Doc:2.6/Manual/Preferences, we can find it here:
MacOS (you'll need to show hidden files for this):
/Users/$user/Library/Application Support/Blender/'Version Number'/config/
Windows 7 and Windows Vista:
C:\Users\$user\AppData\Roaming\Blender Foundation\Blender\'Version Number'\config\
And that's it. You should be able of painlessly moving your existent preferences, and continue working with the most current Blender version as you were used to :-)