Very simple. First, take all your Saved Games AND your Saved Profile from C:\Documents and Settings\NAMEGOESHERE\Application Data\Microsoft Games\Zoo Tycoon 2\Default Profile. Also if anyone else saves to your computer, save all those, too.
Then, make sure you COPY and PASTE all your downloaded items. Burn those items onto seperate CDs.
Go to your new computer and install the games as if new, starting with ZT2, then ES, then AA, then MM (in that order). Then replace the saved Profile with the one you saved to the CD. Then put your saved downloads directly into C:\Program Files\Microsoft Games\Zoo Tycoon 2.
Make sure you use MM to 'start' your game.