How to export Chain settings in case I reinstalled windows?
There is nothing to export. Assuming you are on Windows Vista or later, the text files for each Chain are already saved at
Users\<your user name>\AppData\Roaming\Audacity\Chains\
If you are on the insecure Windows XP:
Documents and Settings\<your user name>\Application Data\Audacity\Chains\
It is perfectly possible to reinstall Windows and retain the settings in your Users folder, though backing up data first is always a recommended precaution.