Luckily this is generally not a huge challenge!

I've outlined the main steps I take below, this should give you a good starting point.

Let me know if you run in to any trouble!

first... perform a FULL backup of your database

You will be able to use this backup file to restore to your new server.
use sql server management studio or management studio express if you are using SQL Server 2005 or 2005 express
use enterprise manager if you are using Sql Server 2000

then perform a FULL backup of your DotNetNuke file system (c:\inetpub\wwwroot\MyDnnSite\)

You will want to zip it all up and transfer it to your new server

restore the database on the new server 

it will probably be best if you keep the database name consistant, but you might want to change the name if it is going from dev to production ("mydb_dev" might become "mydb")

restore the file system to the new server

unzip the files to your wwwroot, just as you had it on your previous server

configure IIS on new server and set file permissions on new server

set up your web site in IIS using your preferred method....
set file permissions for asp.net on xp, network service on win 2003

update the connection string in web.config

your database connection string is almost certainly out of date, so update it to point to the new database server

update your portal alias if it has changed

you might need to add a new portal alias to fit with your new environment...

Hope that helps,