Adobe advises against doing that, but it is possible. More info to be found here:
http://forums.adobe.com/message/2881861#2881861

Deep into this thread someone posted scripts to export and import shortcuts.

BTW The Adobe InDesign Forum is better suited for questions like yours…

Edit: It seems that the later ID-versions are more consistent in the way they react to migrating shortcuts and the advice against is moot…

Thanks Bert, I will check it. (Sorry for the error, I did'nt notice the InDesign Forum).

Not an error, but this being a typography site, there aren't many InDesign experts around. : )

Oh, boy: no forward compatibility. WHAT THE F*CK ARE YOU PEOPLE THINKING?

What have done is export a text file of my CS4 shortcuts and check line by line to reinsert those one in my CS6 :-/
Thanks for your help.