You can't really "move a SQL Server", technically. (Well, by "sneakernet" you can.. ) -You can move their DATABASES, though. I presume this is what you're talking about..
The best way to do this is to BACK UP the database to a file, then FTP or email it to the other server. (do not zip the file)
When the backup file is on the other server, create a blank database, name it what you want, then restore your backup file over your new, blank database. This is how we all do it! (Make sure the checkbox "Force Restore Over Existing Database" is checked and do not focus your new, blank database with the mouse cursor or you will get error messages when you try to restore because focusing the database with your mouse "opens" it, thereby preventing a restore.. because you are "using it"..)
Scripting your db or going table-by-table with DTS (Import/Export - Data Transformation Services) is only relevant when you want to transfer a PIECE of your database to another server.
BTW, when you [right-click] "generate sql script" in SQL Server Enterprise Manager, there are options (checkboxes) on the last tab that allow you to specify "foreign keys", "primary keys", "indexes", "users", etc...
What danfran is saying is right. You can also trying replicating data across the two machines involved in the is matter. Configure the one having the data as distributor and publisher and the one receiving the data as the subcriber and there you go.