I have saved an effect preset that I liked (Three-Way Color Corrector), by right-clicking on the effect and selecting Save Preset and then giving it a name.
I opened up a new Adobe CS4 file and want to apply that saved effect preset to a clip on my timeline. But I don't see a way to do that.
AH - I found them in the project's Presets folder/bin.
Glad we could help.