Reference … appears bb264753 that had the answer was deleted so here is a repost.
https://web.archive.org/web/20080424052302/http://technet.microsoft.com/en-us/windowsxp/bb264753.aspx
Q. What is or is not restored on my computer when I use System Restore?
A. See below.
Restored:
• Registry
• Profiles (local only; roaming user profiles are not affected by restore)
• COM+ DB
• WFP.dll cache
• WMI DB
• IIS Metabase
• File types monitored by System Restore as specified in the SDK document Monitored File Extensions
Not restored:
• DRM settings
• Passwords in the SAM hive
• WPA settings (Windows authentication information is not restored)
• Specific directories/files listed in the Monitored File Extensions list in the System Restore section of the Platform SDK e.g. 'My Documents' folder
• Any file types not monitored by System Restore (.doc, .jpg, etc.)
• Items listed in both Filesnottobackup and KeysnottoRestore (hklm->system->controlset001->control->backuprestore->filesnottobackup and keysnottorestore) in the registry
• User-created data stored in the user profile
• Contents of redirected folders
