Now that I might have compilers on different platform and computers, I was wondering if there was a way to save, transfer and load into another compiler the interface configuration especially the color coding of the program code. Because it's a real pain to set every thing by hand when you have a custom color scheme.

You are mistaken. A compiler knows nothing of "interface configuration" or color coding (AKA syntax highlighting) of code. What you are used to is called an IDE or integrated development environment. For example, Code::Blocks, Eclipse, NetBeans, and Visual Studio. They generally each have their own completely unique configuration. I agree that it would be ideal if they all understood some standard common configuration that could be shared between them, but I don't think it is currently possible.

If you just want to copy your Code::Blocks configuration from one machine to another than that should be possible, but I don't use Code::Blocks so I can't give you any specific guides right now. Code::Blocks is open source so you can expect to find a plain-text file or files containing the configuration. This is usually found in your home directory (i.e., ~ AKA $HOME in Unices) or %USERPROFILE% in Windows. In Windows it might also be found in your "Application Data" AKA "AppData" AKA "%APPDATA%" directory (the environment variable specifically points to the "Roaming" subdirectory in Vista and Seven, so you may need to move up to a parent and check the Local* variants).

I store most plain-text configuration files of my own in a public GitHub repository so it is easy to share configuration among many machines. You may find inspiration from it (or not).

https://github.com/bamccaig/rc/

It does currently contain VS2010 configuration, albeit I generally work from the command line and predominantly only use Visual Studio at j0rb (when I know of no other way).

For the record, there are 3 main processes used in C or C++ development: a preprocessor that processes preprocessor directives, a compiler that converts code into machine code, and a linker that combines that machine code into a single output (a program or library). The IDE is icing on the n00b cake, generally vendor-specific and generally more harmful than good. It is a GUI interface that sits on top of all of these processes and generally abstracts them into an Easy Button(tm).

See also: http://wiki.allegro.cc/index.php?title=Header_file

True, I am sorry for the confusion. Maybe there could be more details in code::blocks's doc. One thing for sure, the config is not saved inside a project.

Look in your AppData (Windows) or .codeblocks (GNU/Linux) and search for a file that looks like it has something to do with syntax highlighting.

Untested, but it appears to be in FAQ:
http://wiki.codeblocks.org/index.php?title=FAQ-Settings#Q:_Where_does_C::B.27s_configuration_file_store.3F_How_do_I_make_Code::Blocks_portable.3F