At How to transfer configuration settings to a new PC
you can see, what files contains settings and where they are stored. They can be also all in the UltraEdit directory or any other directory when environment variable UEINIDIR is set accordingly if you do not want or need user specific settings. But it is also possible to have all settings in the user profile directory so each user can also have it's own syntax highlighting wordfile, for example. Only the uedit32.* files are searched by UltraEdit at start. The directories and names of all other configuration files (including spell settings) are stored in the INI file and can be set everywhere. But I have never tried if environment variables can be use for these settings.
The file associations are stored in the registry and HKEY_CLASSES_ROOT (HKEY_LOCAL_MACHINE\Software\Microsoft\Classes) like all other file associations on Windows OS. So they are identical for all users. You can avoid this prompt for selecting the file associations, if the major version of the INI file is identical to the main version of UltraEdit and the check associations setting is set to off.
If this settings are present in the uedit32.ini before first start of UltraEdit v11.00 - v11.20a the user will not see the file associations dialog.
A few settings (auto update, ...) are stored at HKEY_CURRENT_USER\Software\IDM Computer Solutions.