U1 & U2 are explained on page 75 of the User's Manual. They are stored in the camera memory and put into effect by turning the Mode dial.
Save/Load setting are saved to the memory card in slot one. This is explained on page 244. You can download these to your computer, as someone has said. When you format the SD card to erase images, you lose the setting. Easily enough restored if you have the backup of the file on your computer.
Save settings are a bit more limited in what you can save compared to U1/U2. But it gives you a third menu of preferences to control the D7000 to suit your tastes. In all 3 of these maneuvers don't forget to program in your settings for MY MENU. The neat thing about MY MENU is you can program buttons including Fn and Prev to bring you to the top item in MY MENU. Now, that is fast.