Question: if i have setup CCleaner the way i want it to work, eg. what to remove, what to keep (cookies) etc, can i export them so that if i re-format, i can have them?

Answer: 
The CCleaner settings get saved under the registry key `[HKEY_CURRENT_USER\Software\Piriform\CCleaner]`

With regedit.exe you could export that to a \*.reg files. Then when you reload you could import the reg file and you should be back in business.
Save this file: C:\Program Files\CCleaner\ccleaner.ini
The registry doesn't have the settings information in XP anyway.