Kenny,
The *.IAF file will not save your "subscribed" newsgroup list. In addition, it won't save your News server password, so you will need to add it to the acct settings. It should have the server name, your user acct name, and any other "advance" settings, when you save the file.

I personally use the following method described in the following link. Initially it will only download the messages and newsgroups that I want to view. You might experience at the beginning, that message downloads are quicker, since OE does not have to go through every newsgroup on the server, and see if you are subscribed to it, when checking for new messages.

By Tom Koch Microsoft MVP

How to Create Hyperlinks to Newsgroups
http://insideoe.com/tips/makeOElinks.htm

I know I can export as an IAF file then import it back in after a
re-install.  Question is does it also save all the subscribed groups?
Have tried opening the IAF file in Notepad and from what I can see it
doesn't.  If not how can I save a list of subscribed groups?
XP Pro/SP2/OE6

[[You will lose all your subscribed newsgroups, all message rules, all Block
Senders entries, all custom views and all custom toolbars. ]]
The Simple Backup
http://insideoe.tomsterdam.com/backup/simple.htm

[[OE Backup, free backup utility
Fellow MVP David "Majik" Guess has released a new free utility called simply
OE Backup. This will backup everything in OE, including multiple Identities,
mail folders, newsgroups, address book and customized Identity settings.]]
http://insideoe.tomsterdam.com/backup/index.htm

OE Backup
http://www.oehelp.com/oebackup/default.aspx

DBXtract
http://www.oehelp.com/DBXtract/Default.aspx

I also use Make Links to Newsgroups
http://insideoe.tomsterdam.com/tips/makeOElinks.htm

From...
Improve Performance in Newsgroups
http://insideoe.tomsterdam.com/tips/slownews.htm

I just compacted all OE folders and my Folders.dbx is just 72.9 KB.