This evening, I moved my thesis documents and all it’s dependencies to a new machine. Using Windows Vista, most documents are located in %UserProfile%. Most of them, but not all. EndNote X stores its styles in its program folder by default. The styles are located in %ProgramFiles (x86)%EndNote XStyles (on my X64 system). To change this, go to Edit / Preferences… / Folder Locations and change the Style Folder option.
It’s a simple tweak, however, it allows you to manage and backup your own styles in a much more efficient way.